关于广义Aluthge变换的数值域

设T是作用在希尔伯特空间H上的有界线性算子,本文研究T的广义Aluthge变换和广义＊-Aluthge变换,并且得到T的广义Aluthge变换的数值域和广义＊-Aluthge变换的数值域相等．     

The Law of the Iterated Logarithm for Extreme Waiting Time in Multiphase Queueing Systems

The objective of this research in the queueing theory is the law of the iterated logarithm (LIL) under the conditions of heavy traffic in multiphase queueing systems (MQS). In this paper, the LIL is proved for the extreme values of some important probabilistic characteristics of the MQS, namely, maxima and minima of the summary waiting time of a customer, and maxima and minima of the waiting time of a customer.     

The Versatility of MMAP[K] and the MMAP[K]/G[K]/1 Queue

This paper studies a single server queueing system with multiple types of customers. The first part of the paper discusses some modeling issues associated with the Markov arrival processes with marked arrivals (MMAP[K], where K is an integer representing the number of types of customers). The usefulness of MMAP[K] in modeling point processes is shown by a number of interesting examples. The second part of the paper studies a single server queueing system with an MMAP[K] as its input process. The busy period, virtual waiting time, and actual waiting times are studied. The focus is on the actual waiting times of individual types of customers. Explicit formulas are obtained for the Laplace–Stieltjes transforms of these actual waiting times.     

On the Analysis of the Virtual Waiting Time in Open Queueing Networks

The model of an open queueing network in heavy traffic has been developed. These models are mathematical models of computer networks in heavy traffic. A limit theorem has been presented for the virtual waiting time of a customer in heavy traffic in open queueing networks. Finally, we present an application of the theorem—a reliability model from computer network practice.     

Analytical Distribution of Waiting Time in the M/{iD}/1 Queue

We give an analytical formula for the steady-state distribution of queue-wait in the M/G/1 queue, where the service time for each customer is a positive integer multiple of a constant D > 0. We call this an M/{iD}/1 queue. We give numerical algorithms to calculate the distribution. In addition, in the case that the service distribution is sparse, we give revised algorithms that can compute the distribution more quickly.AMS subject classification: 60K25, 90B22     

Numerical analysis of a model of cure process for composites

We consider a composite material composed of fibres included in a resin which becomes solid when it is heated up (reaction of reticulation). The mathematical modelling of the cure process is given by a kinetic equation describing the evolution of the reaction of reticulation coupled with the heat equation. In this paper, we are interested in the computation of approximate solutions. We propose a family of discretized problems depending on two parameters (β₁, β₂) ε [0, 1]² which split the linear and non‐ linear terms in implicit and explicit parts. We prove the stability and convergence of the discretization for any (β₁, β₂) ε [½, 1 ] × [0, 1]. We present also some numerical results. Copyright © 2006 John Wiley & Sons, Ltd.     

Characterizations of the Poisson process as a renewal process via two conditional moments

Given two independent positive random variables, under some minor conditions, it is known that fromE(X^rX+Y)=a(X+Y)^r andE(X^sX+Y)=b(X+Y)^s, for certain pairs ofr ands, wherea andb are two constants, we can characterizeX andY to have gamma distributions. Inspired by this, in this article we will characterize the Poisson process among the class of renewal processes via two conditional moments. More precisely, let {A(t), t0} be a renewal process, with {S _k, k1} the sequence of arrival times, andF the common distribution function of the inter-arrival times. We prove that for some fixedn andk, kn, ifE(S _k ^r A(t)=n)=at^r andE(S _k ^s A(t)=n)=bt^s, for certain pairs ofr ands, wherea andb are independent oft, then {A(t), t0} has to be a Poisson process. We also give some corresponding results about characterizingFto be geometric whenF is discrete.Support for this research was provided in part by the National Science Council of the Republic of China, Grant No. NSC 81-0208-M110-06.     

New expressions of the modified generalized integral transform via the translation theorem with applications

In this paper, we obtain very natural basic formulas for the modified generalized integral transform (MGIT) on function space. In order to do this, we first introduce an MGIT of functionals on function space. We next establish some basic formulas with respect to the MGIT and the first variation. Finally, we obtain a new version of the Cameron–Storvick theorem via the translation theorem. Some applications are demonstrated as examples which are used in classification of nanoparticles.     

Elements related to the largest complete excursion of a reflected BM stopped at a fixed time. Application to local score

We calculate the density function of $(U^1\left(t\right),{\theta }^1\left(t\right))$, where $U^1\left(t\right)$ is the maximum over $[0,g\left(t\right)]$ of a reflected Brownian motion $U$, where $g\left(t\right)$ stands for the last zero of $U$ before $t$, ${\theta }^1\left(t\right)=f^1\left(t\right)-g^1\left(t\right)$, $f^1\left(t\right)$ is the hitting time of the level $U^1\left(t\right)$, and $g^1\left(t\right)$ is the left-hand point of the interval straddling $f^1\left(t\right)$. We also calculate explicitly the marginal density functions of $U^1\left(t\right)$ and ${\theta }^1\left(t\right)$. Let $U_n^1$ and ${\theta }_n^1$ be the analogs of $U^1\left(t\right)$ and ${\theta }^1\left(t\right)$ respectively where the underlying process $\left(U_n\right)$ is the Lindley process, i.e. the difference between a centered real random walk and its minimum. We prove that $(\frac{U_n^1}{\sqrt{n}},\frac{{\theta }_n^1}{n})$ converges weakly to $(U^1\left(1\right),{\theta }^1\left(1\right))$ as $n\to \infty$.     

A numerical algorithm for a class of BSDEs via the branching process

We give a study to the algorithm for semi-linear parabolic PDEs in Henry-Labordère (2012) and then generalize it to the non-Markovian case for a class of Backward SDEs (BSDEs). By simulating the branching process, the algorithm does not need any backward regression. To prove that the numerical algorithm converges to the solution of BSDEs, we use the notion of viscosity solution of path dependent PDEs introduced by Ekren et al. (to appear)  [5] and extended in Ekren et al. (2012)   and .     

A second-order approximation for the variance of a renewal reward process

Let {C(t), t ? 0} be a renewal reward process. We obtain the approximation Var C(t) = ct + d + o(1), and explicitly identify c and d.     

Preservation of reliability classes associated with the mean residual life by a renewal process stopped at a random time

In this paper, we show that some ageing classes of a random time T related to the mean residual life are preserved by the discrete random count variable N(T), where {N(t) : t ?0}is a renewal process independent from T under suitable conditions. In the particular case of the Poisson process, we extend the results to more reliability classes. We also consider real examples of N(T) and apply the results to queuing systems. Copyright © 2011 John Wiley & Sons, Ltd.     

On the expected discounted penalty function at ruin of a surplus process with interest

In this paper, we study the expected value of a discounted penalty function at ruin of the classical surplus process modified by the inclusion of interest on the surplus. The ‘penalty’ is simply a function of the surplus immediately prior to ruin and the deficit at ruin. An integral equation for the expected value is derived, while the exact solution is given when the initial surplus is zero. Dickson’s [Insurance: Mathematics and Economics 11 (1992) 191] formulae for the distribution of the surplus immediately prior to ruin in the classical surplus process are generalised to our modified surplus process.     

Computing the first passage time density of a time-dependent Ornstein–Uhlenbeck process to a moving boundary

In this paper we use the method of images to derive the closed-form formula for the first passage time density of a time-dependent Ornstein–Uhlenbeck process to a parametric class of moving boundaries. The results are then applied to develop a simple, efficient and systematic approximation scheme to compute tight upper and lower bounds of the first passage time density through a fixed boundary.     

Small ball probabilities for a Wiener process under weighted sup-norms,with an application to the supremum of bessel local times

LetR be the radial part of ad-dimensional Wiener process, starting from 0. In this paper, small ball probabilities are evaluated for sup_0<11(t ^–p R(t)) and sup _t 0(e ^–1 R(t)), withp[0, 1/2]. Chung's law of the iterated logarithm is established for the supremum of the local times of a two-dimensional Bessel process.     

A note on the J1-convergence of a first-passage process

Let X₁, X₂, … be a sequence of independent and identically distributed random variables with mean zero such that the common distribution function belongs to the domain of attraction of a stable law G_α,β with 1<α<2 and β=1 or α=2. If S_n=X₁+…X_n and N(ξ)=min{k:S_k>ξ}, ξ>0, then it is shown that $\text{N(nt)}\text{B}{}^1\text{(n)}$, 0<t<1, converges weakly under the Skorohod J₁-topology to a stable subordinator of index $\text{1}\text{α}$, where B¹(n) depends on the norming constant for S_n.