Summatory Formula of the Convolution of Two Arithmetical Functions

 We study the asymptotic formula of for some arithmetical functions f and g. This generalizes the case investigated by Balakrishnan and Pétermann. Received 15 January 2001; in revised form 7 July 2001     

Asymptotics in a time-dependent renewal risk model with stochastic return

In this paper we study the asymptotic tail behavior for a non-standard renewal risk model with a dependence structure and stochastic return. An insurance company is allowed to invest in financial assets such as risk-free bonds and risky stocks, and the price process of its portfolio is described by a geometric Lévy process. By restricting the claim-size distribution to the class of extended regular variation (ERV) and imposing a constraint on the Lévy process in terms of its Laplace exponent, we obtain for the tail probability of the stochastic present value of aggregate claims a precise asymptotic formula, which holds uniformly for all time horizons. We further prove that the corresponding ruin probability also satisfies the same asymptotic formula.     

Summatory Formula of the Convolution of Two Arithmetical Functions

 We study the asymptotic formula of for some arithmetical functions f and g. This generalizes the case investigated by Balakrishnan and Pétermann.     

Fluctuations of Stable Processes and Exponential Functionals of Hypergeometric Lévy Processes

We study the distribution and various properties of exponential functionals of hypergeometric Lévy processes. We derive an explicit formula for the Mellin transform of the exponential functional and give both convergent and asymptotic series expansions of its probability density function. As applications we present a new proof of some of the results on the density of the supremum of a stable process, which were recently obtained in Hubalek and Kuznetsov (Electron. Commun. Probab. 16:84–95, 2011) and Kuznetsov (Ann. Probab. 39(3):1027–1060, 2011). We also derive several new results related to (i) the entrance law of a stable process conditioned to stay positive, (ii) the entrance law of the excursion measure of a stable process reflected at its past infimum, (iii) the distribution of the lifetime of a stable process conditioned to hit zero continuously and (iv) the entrance law and the last passage time of the radial part of a multidimensional symmetric stable process.     

A posteriori error estimates for subgrid viscosity stabilized approximations of convection–diffusion equations

We derive a posteriori error estimates for subgrid viscosity stabilized finite element approximations of convection–diffusion equations in the high Péclet number regime. Two estimators are analyzed: an asymptotically robust one and a fully robust one with respect to the Péclet number. Numerical results on test cases with boundary layers or internal layers show that the asymptotically robust estimator can be used to construct adaptive meshes.     

Free Energy Fluctuations for Directed Polymers in Random Media in 1 + 1 Dimension

We consider two models for directed polymers in space‐time independent random media (the O'Connell‐Yor semidiscrete directed polymer and the continuum directed random polymer) at positive temperature and prove their KPZ universality via asymptotic analysis of exact Fredholm determinant formulas for the Laplace transform of their partition functions. In particular, we show that for large time τ, the probability distributions for the free energy fluctuations, when rescaled by τ^1/3, converges to the GUE Tracy‐Widom distribution. We also consider the effect of boundary perturbations to the quenched random media on the limiting free energy statistics. For the semidiscrete directed polymer, when the drifts of a finite number of the Brownian motions forming the quenched random media are critically tuned, the statistics are instead governed by the limiting Baik–Ben Arous–Péché distributions from spiked random matrix theory. For the continuum polymer, the boundary perturbations correspond to choosing the initial data for the stochastic heat equation from a particular class, and likewise for its logarithm—the Kardar‐Parisi‐Zhang equation. The Laplace transform formula we prove can be inverted to give the one‐point probability distribution of the solution to these stochastic PDEs for the class of initial data. © 2014 Wiley Periodicals, Inc.     

An Explicit Formula for the Coefficients in Laplace’s Method

Laplace’s method is one of the fundamental techniques in the asymptotic approximation of integrals. The coefficients appearing in the resulting asymptotic expansion arise as the coefficients of a convergent or asymptotic series of a function defined in an implicit form. Due to the tedious computation of these coefficients, most standard textbooks on asymptotic approximations of integrals do not give explicit formulas for them. Nevertheless, we can find some more or less explicit representations for the coefficients in the literature: Perron’s formula gives them in terms of derivatives of an explicit function; Campbell, Fröman and Walles simplified Perron’s method by computing these derivatives using an explicit recurrence relation. The most recent contribution is due to Wojdylo, who rediscovered the Campbell, Fröman and Walles formula and rewrote it in terms of partial ordinary Bell polynomials. In this paper, we provide an alternative representation for the coefficients that contains ordinary potential polynomials. The proof is based on Perron’s formula and a theorem of Comtet. The asymptotic expansions of the gamma function and the incomplete gamma function are given as illustrations.     

A semi-circulant preconditioner for the convection-diffusion equation

In this paper we define and analyze a semi-circulant preconditioner for the convection-diffusion equation. We derive analytical formulas for the eigenvalues and the eigenvectors of the preconditioned system of equations. We show that for mesh Péclet numbers less than 2, the rate of convergence depends only on the mesh Péclet number and the direction of the convective field and not on the spatial grid ratio or the number of unknowns. Received February 20, 1997 / Revised version received November 19, 1997     

On the distribution of solutions to polynomial congruences

We use a result of é. Fouvry about the distribution of solutions to systems of congruences with multivariate polynomials in small cubic boxes and some ideas of W. Schmidt to derive an asymptotic formula for the number of such solutions in very general domains.     

Global Asymptotics of the Second Painlevé Equation in Okamoto’s Space

We study the solutions of the second Painlevé equation (P II) in the space of initial conditions first constructed by Okamoto, in the limit as the independent variable, x, goes to infinity. Simultaneously, we study solutions of the related equation known as the thirty-fourth Painlevé equation (P 34). By considering degenerate cases of the autonomous flow, we recover the known special solutions, which are either rational functions or expressible in terms of Airy functions. We show that the solutions that do not vanish at infinity possess an infinite number of poles. An essential element of our construction is the proof that the union of exceptional lines is a repeller for the dynamics in Okamoto’s space. Moreover, we show that the limit set of the solutions exists and is compact and connected.     

Ruin probability in the presence of interest earnings and tax payments

In this paper we investigate the ruin probability in a general risk model driven by a compound Poisson process. We derive a formula for the ruin probability from which the Albrecher–Hipp tax identity follows as a corollary. Then we study, as an important special case, the classical risk model with a constant force of interest and loss-carried-forward tax payments. For this case we derive an exact formula for the ruin probability when the claims are exponential and an explicit asymptotic formula when the claims are subexponential.     

Characterization and Enumeration of Certain Classes of Tenable Pólya Urns Grown by Drawing Multisets of Balls

We study necessary and sufficient conditions for the strong tenability of Pólya urn schemes under the sampling of multisets of balls. We also investigate sufficient conditions for the tenability (not necessarily in the strong sense) of Pólya urn schemes under the sampling of multisets of balls. We enumerate certain balanced classes and give algorithmic constructions for the replacement matrices for members in the class. We probabilistically analyze the zero-balanced tenable class, and find the asymptotic average proportion of each color, when the starting number of balls is large. We also give an algorithm to determine tenability and construct the Markov chain underlying the scheme, when it is tenable.     

On a Class of Lévy Stochastic Networks

We consider a Lévy stochastic network as a regulated multidimensional Lévy process. The reflection direction is constant on each boundary of the positive orthant and the corresponding reflection matrix corresponds to a single-class network. We use the representation of the Lévy process and Itô's formula to arrive at some equations for the steady-state process; the latter is shown to exist, under natural stability conditions. We specialize first to the class of Lévy processes with non-negative jumps and then add the assumption of self-similarity. We show that the stationary distribution of the network corresponding the the latter process does not has product form (except in trivial cases). Finally, we derive asymptotic bounds for two-dimensional Lévy stochastic network.     

Tails of waiting times and their bounds

Tails of distributions having the form of the geometric convolution are considered. In the case of light-tailed summands, a simple proof of the famous Cramér asymptotic formula is given via the change of probability measure. Some related results are obtained, namely, bounds of the tails of geometric convolutions, expressions for the distribution of the 1st failure time and failure rate in regenerative systems, and others. In the case of heavy-tailed summands, two-sided bounds of the tail of the geometric convolution are given in the cases where the summands have either Pareto or Weibull distributions. The results obtained have the property that the corresponding lower and upper bounds are tailed-equivalent. This revised version was published online in June 2006 with corrections to the Cover Date.     

负相协更新门限超出概率与红利干扰模型中破产概率的渐近估计

该文中, 作者得到了负相协更新门限超出概率的渐近估计, 其推广了 Robert(2005)^[12] 中的相应结果. 进而通过新的方法, 得到了红利干扰模型中破产概率的渐近估计的严格证明.     

On the asymptotics of fault probability in least‐recently‐used caching with Zipf‐type request distribution

We consider the least‐recently‐used cache replacement rule with a Zipf‐type page request distribution and investigate an asymptotic property of the fault probability with respect to an increase of cache size. We first derive the asymptotics of the fault probability for the independent‐request model and then extend this derivation to a general dependent‐request model, where our result shows that under some weak assumptions the fault probability is asymptotically invariant with regard to dependence in the page request process. In a previous study, a similar result was derived by applying a Poisson embedding technique, where a continuous‐time proof was given through some assumptions based on a continuous‐time modeling. The Poisson embedding, however, is just a technique used for the proof and the problem is essentially on a discrete‐time basis; thus, it is preferable to make assumptions, if any, directly in the discrete‐time setting. We consider a general dependent‐request model and give a direct discrete‐time proof under different assumptions. A key to the proof is that the numbers of requests for respective pages represent conditionally negatively associated random variables. © 2005 Wiley Periodicals, Inc. Random Struct. Alg., 2006     

Correlation Inequalities

The main point of this note is to give a simple semigroup proof of a correlation inequality due to Hu , [H]. We also recover recent correlation inequalities due to Houdré , Pérez–Abreu and Surgailis , [HPS] and obtain some new correlation inequalities on Lie groups.     

A short proof of Cartan’s Nullstellensatz for entire functions in $${\mathbb{C}^n}$$

Using the fact that the maximal ideals in the polydisk algebra are given by the kernels of point evaluations, we derive a simple formula that gives a solution to the Bézout equation in the space of all entire functions of several complex variables. Thus a short and easy analytic proof of Cartan’s Nullstellensatz is obtained.     

A generalization of Poincaré's theorem for recurrence systems

A new proof and a genuine generalization to systems of first order equations is given from Poincaré classical theorem on ratio asymptotics of solutions of higher order recurrence equations. The asymptotic behavior of a fundamental system of solutions is obtained.     

Equiaffine inner parallel curves of a plane convex body and the convex hulls of randomly chosen points

Summary. A general formula is proved, which relates the equiaffine inner parallel curves of a plane convex body and the probability that the convex hull of j independent random points is disjoint from the convex hull of k further independent random points. This formula is applied to improve some well-known results in geometric probability. For example, an estimate, which was established for a special case by L. C. G. Rogers, is obtained with the best possible bound, and an asymptotic formula due to A. Rényi and R.␣Sulanke is extended to an asymptotic expansion. Received: 21 May 1996