Absolute Continuity of Joint Laws of Multiple Stable Stochastic Integrals

We are interested in the laws of multiple stable stochastic integrals defined by LePage series representation in references(3,10,11). We continue the study started in Ref. 3 and give conditions ensuring absolute continuity of joint laws of stable integrals. To this end, we apply a stratification method on the Skorohod space on which we first take back the problem.     

On Grüss Type Inequalities for Double Integrals

We establish two new inequalities of Grüss type involving functions of two independent variables. The analysis used in the proofs is elementary and our results provide new estimates on inequalities of this type.     

Maximal Inequalities for the Best Approximation Operator and Simonenko Indices

In an abstract set up, we get strong type inequalities in L~(p+1) by assuming weak or extra-weak inequalities in Orlicz spaces. For some classes of functions, the number p is related to Simonenko indices. We apply the results to get strong inequalities for maximal functions associated to best Φ-approximation operators in an Orlicz space L~Φ.     

Empirical bounds for ruin probabilities

We consider the classical model for an insurance business where the claims occur according to a Poisson process and where the distribution for the cost of each claim fulfills Cramér's tail-condition. Under these conditions Lundberg's constant R is of fundamental importance for ruin calculations.We derive estimates of R, based on an observation of the insurance business and investigate the statistical properties of those estimates. We further derive bounds and confidence intervals for ruin probabilities.     

On the Shape of the Ground State Eigenfunction for Stable Processes

We prove that the ground-state eigenfunction for symmetric stable processes of order α∈(0,2) killed upon leaving the interval (?1,1) is concave on $(-\frac{1}{2},\frac{1}{2})We prove that the ground-state eigenfunction for symmetric stable processes of order α∈(0,2) killed upon leaving the interval (−1,1) is concave on . We call this property “mid-concavity”. A similar statement holds for rectangles in ℝ^d, d>1. These result follow from similar results for finite-dimensional distributions of Brownian motion and subordination. Mathematics Subject Classification (2000) 30C45. Rodrigo Ba?uelos: R. Ba?uelos was supported in part by NSF grant # 9700585-DMS. Tadeusz Kulczycki: T. Kulczycki was supported by KBN grant 2 P03A 041 22 and RTN Harmonic Analysis and Related Problems, contract HPRN-CT-2001-00273-HARP.     

Vector Variational Inequalities Involving Vector Maximal Points

This paper considers the existence of solutions and the equivalence of four kinds of vector variational inequalities (VVI). More precisely, a sufficient condition is provided under which the solution sets of these VVIs are nonempty and equal. An example is given, showing that such a sufficient condition is essential to ensure the results. Actually, the main theorems in this paper can be regarded as a suitable correction and a refinement of recent results due to Chang et al. (Ref. 1).     

带非光滑核的多线性奇异积分算子的极大交换子

本文研究了具有非光滑核的m-线性Calderon-Zygmund算子的极大交换子的Cotlar不等式,建立了上述m-线性Calderon-Zygmund算子的交换子和极大交换子的加权不等式.     

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利用鞅方法,我们给出跳扩散过程的偏差不等式,推广了之前关于纯Lévy跳过程在类Cramér条件下的结论,同时我们的方法对于Lévy测度不具有指数矩的情形也是适用的.     

A Note on Maximal Inequality for Stochastic Convolutions

Using unitary dilations we give a very simple proof of the maximal inequality for a stochastic convolution

On Set-Valued Stochastic Integrals

We define a set-valued stochastic integral with respect to a 1-dimensional Brownian motion. The paper develops multivalued analogs to the theory of singlevalued stochastic integrals. It is expected that these results will be useful to study set-valued and fuzzy stochastic analysis.     

Stochastic integrals of empirical-type processes with applications to censored regression

Motivated by the analysis of linear rank estimators and the Buckley-James nonparametric EM estimator in censored regression models, we study herein the asymptotic properties of stochastic integrals of certain two-parameter empirical processes. Applications of these results on empirical processes and their stochastic integrals to the asymptotic analysis of censored regression estimators are also given.     

On the first passage times of reflected O-U processes with two-sided barriers

In this article, we give the Laplace transform of the first passage times of reflected Ornstein-Uhlenbeck process with two-sided barriers. AMS Subject Classifications 60H10 · 60G40 · 90B05 Supported by NSF of China.     

随机过程增量不等式的推广

本文将推广在［３］中由Ｅ．Ｃｓａｋｉ及Ｍ．Ｃｓｏｒｇｏ所引入的关于随机过程不等式，并把它应用到某些随机过程中，从而得到这些随机过程的一些极限定理．     

混合型随机微分方程的传输不等式

该文探讨一类由Wiener过程和Hurst参数1/2＜H＜1分数布朗运动驱动的混合型随机微分方程.通过使用一些变换技巧和逼近方法,这类方程的强解在d2度量和一致度量d∞下的二次传输不等式被建立.     

Maximal Inequalities and Lebesgue's Differentiation Theorem for Best Approximant by Constant over Balls

For fL_p( ⁿ), with 1p<∞, >0 and x ⁿ we denote by T(f)(x) the set of every best constant approximant to f in the ball B(x, ). In this paper we extend the operators T_p to the space L_p−1( ⁿ)+L_∞( ⁿ), where L₀ is the set of every measurable functions finite almost everywhere. Moreover we consider the maximal operators associated to the operators T_p and we prove maximal inequalities for them. As a consequence of these inequalities we obtain a generalization of Lebesgue's Differentiation Theorem.     

Maximal Points of Stable and Related Polynomials

We prove that any polynomial having all its roots in a closed half-plane, whose boundary contains the origin, has either one or two maximal points, and only one if it has at least one root in the open half-plane. This result concerns stable polynomials as well as polynomials having only real roots, including real orthogonal polynomials.     

Stable Manifolds for Stochastic Flows Induced by Levy Processes on Lie Groups

We determine explicitly all the stable manifolds for the stochasticflows on certain homogeneous spaces of a semisimple Lie groupof non-compact type induced by Lévy processes on theLie group. 2000 Mathematical Subject Classification: 58J65.     

Weighted Norm Inequalities for Marcinkiewicz Integrals with Non-Smooth Kernels on Spaces of Homogeneous Type

In this article, we obtain some weighted estimates for Marcinkiewicz integrals with non-smooth kernels on spaces of homogeneous type. The weight $\omega$ considered here belongs to the Muckenhoupt’s class $A_∞.$ Moreover, weighted estimates for commutators of BMO functions and Marcinkiewicz integrals are also given.     

随机线性不等式组的确定性等价式

在大量的决策问题中，经常会出现含有随机变量的不等式或不等式组。把这类含有随机变理的模型转化成确定性的模型是解决问题的重要途径。它们在随机控制和不完全信息群体决策随机决策问题中起着重要的作用。因此，如何将随机不等林或随机不等式组转化为相应的确定性等价式的问题受到人们的关注。本文对含有确定分布的随机变量的线性不等式组，就其相应的概率表达式作出分类，并根据其左端系数矩阵和右端向量含有随机因素的情形分别进行讨论，系统地导出了它们相应的确定性等价式。