共查询到20条相似文献,搜索用时 78 毫秒
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??This paper studies the price of convertible bonds with
counterparty credit risk in a reduced-form model. We suppose that the default intensity
process and the interest rate process follow the Vasicek model, and derive the price
expression of convertible bonds using the method of measure changes. Moreover, we make
some numerical analysis on the explicit formulae to demonstrate the sensitivity of a
convertible bond price to changes in the parameters of the model. 相似文献
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??For \rho-mixing samples, we discuss thestrong consistency of the nonparametric kernel regression estimator proposed by Gasser and Muller. Under more weaker conditions, its strong consistency and uniformly strong consistency are proved. 相似文献
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�ž����Ϲ�����h�ֺ��� 《应用概率统计》2018,34(1):8-20
In this paper, we consider the estimation problemfor partially linear models with additive measurement errors in thenonparametric part. Two kinds of estimators are proposed. The first oneis an integral moment-based estimator with deconvolution kernel techniques,associated with the strong consistency for the estimator. Another oneis a simulation-based estimator to avoid the integrals involved in theintegral moment-based estimator. Simulation studies are conducted toexamine the performance of the proposed estimators. 相似文献
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Solar cell is the basic component of satellite photovoltaic panels with complicated redundant system structure. Its reliability plays an important role in the system, and its performance shows a degradation trend over time. In this paper, study is conducted for the solar cell degradation modeling and reliability analysis basedon practical testing results. Specifically, we illustrate an accelerated test for the attenuation ratio character test under different accumulativeirradiation levels, focusing on the heteroscedasticity of the collected testing data. A heteroscedastic linear model is proposed, and the lifedistribution of the photovoltaic panel is obtained by using Fiducial method. A numerical example is shown for the purpose of illustration. 相似文献
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����³�� ����Ԫ 《应用概率统计》2016,32(4):376-392
For a financial or insurance entity, the problem of finding the
optimal dividend distribution strategy and optimal firm value function is a widely discussed
topic. In the present paper, it is assumed that the firm faces two types of liquidity risks:
a Brownian risk and a Poisson risk. The firm can control the time and amount of dividends
paid out to shareholders. By sufficiently taking into account the safety of the company,
bankruptcy is said to take place at time $t$ if the cash reserve of the firm runs below
the linear barrier b+kt (not zero), see 1. We deal with the problem of maximizing
the expected total discounted dividends paid out until bankruptcy. The optimal dividend
return (or, firm value) function is identified as the classical solution of the associated
Hamilton-Jacobi-Bellman (HJB) equation where a second-order differential-integro equation
is involved. By solving the corresponding HJB equation, the analytical solution of the
optimal firm value function is obtained, the optimal dividend strategy is also characterized,
which is of linear barrier type: at time t the firm keeps cash inside when the cash
reserves level is less than a critical linear barrier and pays cash in excess of
this linear barrier as dividends. 相似文献
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??This paper considers the expected penalty functions for a
discrete semi-Markov risk model, which includes several existing risk models such
as the compound binomial model (with time-correlated claims) and the compound Markov
binomial model (with time-correlated claims) as special cases. Recursive formulae
and the initial values for the discounted free penalty functions are derived in the
two-state model by an easy method. We also give some applications of our results. 相似文献
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??Examining the conditions of positively or negatively associated
sequences of random variables obeying the strong law of large numbers provided by
Alexander, the sequences of Gaussian random variables, nonnegative and uniformly bounded
sequences of random variables with general dependent structure were studied, and the
sufficient conditions for they obeying the strong law of large numbers were given. At
last, an example for Gaussian sequence satisfying the strong law of large numbers was
given. 相似文献
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In this note we discuss uniform integrability of random variables. In a probability space, we introduce two new notions on uniform integrability of random variables, and prove that they are equivalent to the classic one. In a sublinear expectation space, we give de La Vall\'{e}e Poussin criterion for the uniform integrability of random variables and do some other discussions. 相似文献
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In this paper, we will prove another Borel-Cantelli lemma for capacities induced by sublinear expectations. 相似文献
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The concepts of bi-immigration birth and death density matrix in random environment and bi-immigration birth and death process in random environment are introduced. For any bi-immigration birth and death matrix in random environment Q(θ) with birth rate λ 〈 death rate μ, the following results are proved, (1) there is an unique q-process in random environment, P^-(θ*(0);t) = (p^-(θ^*(0);t,i,j),i,j ≥ 0), which is ergodic, that is, lim t→∞(θ^*(0);t,i,j) = π^-(θ^*(0);j) ≥0 does not depend on i ≥ 0 and ∑j≥0π (θ*(0);j) = 1, (2) there is a bi-immigration birth and death process in random enjvironment (X^* = {X^*,t ≥ 0},ε^* = {εt,t ∈ (-∞, ∞)}) with random transition matrix P^-(θ^* (0);t) such that X^* is a strictly stationary process. 相似文献
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建立了生物种群在污染环境中的一个线性生灭过程模型.利用马尔可夫过程的理论和方法,得到生物种群数量变化的概率分布,最后讨论了各模型参数的变化对生物种群生存的影响. 相似文献
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讨论了一类独立随机环境中的生灭过程的常返性.在假定环境满足一定的条件下证明一个强大数定律,并应用此大数定律给出了该生灭过程的常返和非常返的判别准则. 相似文献
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Hua-Ming Wang 《Journal of Theoretical Probability》2018,31(2):619-642
We study a random walk with unbounded jumps in random environment. The environment is stationary and ergodic, uniformly elliptic and decays polynomially with speed \(Dj^{-(3+\varepsilon _0)}\) for some \(D>0\) and small \(\varepsilon _0>0.\) We prove a law of large numbers under the condition that the annealed mean of the hitting time of the lattice of the positive half line is finite. As the second part, we consider a birth and death process with bounded jumps in stationary and ergodic environment whose skeleton process is a random walk with unbounded jumps in random environment. Under a uniform ellipticity condition, we prove a law of large numbers and give the explicit formula of its velocity. 相似文献
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生灭型半马氏骨架过程 总被引:1,自引:0,他引:1
本文首先引进了生灭型半马氏骨架过程的定义,求出了两骨架时跳跃点τn-1(ω)与τn(ω)之间的嵌入过程X(n)(t,ω)的初始分布及寿命分布.得到了生灭型半马氏骨架过程的一维分布.其次引进了生灭型半马氏骨架过程的数字特征并讨论了它们的概率意义及相互关系.讨论了生灭型半马氏骨架过程的向上和向下的积分型随机泛函.最后讨论了它的遍历性及平稳分布,求出了平均首达时间及平均返回时间.得到了常返和正常返的充分必要条件,求出了在正常返的条件下的平稳分布. 相似文献
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当生灭过程不唯一,且附加的虚状态∞是"瞬时"且正则时,其轨道结构是异常复杂的.主要工作是利用Ito的游程理论来分析处理这种生灭过程,研究其轨道性质,并最终得到预解式.此预解式具有清楚的概率意义,能够直观地反映生灭过程的轨道结构. 相似文献
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令$\{Z_{n}, n\ge 0\}$为独立同分布随机环境下的上临界分支过程$\xi=(\xi_n)_{n\geq 0}$.本文给出了$\ln (Z_{n+n_{0}}/Z_{n_{0}})$的一些偏差不等式及其在构造置信区间上的一些应用. 相似文献
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