High order moments of first hitting times for single death processes

We present an explicit and recursive representation for high order moments of the first hitting times of single death processes. Based on that, some necessary or sufficient conditions of exponential ergodicity as well as a criterion on\mathit{\ell }-ergodicity are obtained for single death processes, respectively.     

Criteria on ergodicity and strong ergodicity of single death processes

Based on an explicit representation of moments of hitting times for single death processes, the criteria on ergodicity and strong ergodicity are obtained. These results can be applied for an extended class of branching processes. Meanwhile, some sufficient and necessary conditions for recurrence and exponential ergodicity as well as extinction probability for the processes are presented.     

Convex integral functionals of regular processes

This article gives dual representations for convex integral functionals on the linear space of regular processes. This space turns out to be a Banach space containing many more familiar classes of stochastic processes and its dual can be identified with the space of optional random measures with essentially bounded variation. Combined with classical Banach space techniques, our results allow for a systematic treatment of stochastic optimization problems over BV processes and, in particular, yields a maximum principle for a general class of singular stochastic control problems.     

Limit theorems for Toeplitz quadratic functionals of continuous-time stationary processes

Let X(t), , be a centered real-valued stationary Gaussian process with spectral density f(λ). The paper considers a question concerning asymptotic distribution of Toeplitz type quadratic functional Q _T of the process X(t), generated by an integrable even function g(λ). Sufficient conditions in terms of f(λ) and g(λ) ensuring central limit theorems for standard normalized quadratic functionals Q _T are obtained, extending the results of Fox and Taqqu (Prob. Theory Relat. Fields 74: 213–240, 1987), Avram (Prob. Theory Relat. Fields 79:37–45, 1988), Giraitis and Surgailis (Prob. Theory Relat. Fields 86: 87–104, 1990), Ginovian and Sahakian (Theory Prob. Appl. 49:612–628, 2004) for discrete time processes.      

Integral-Type Functionals Downward of Single Death Processes

In this paper we consider the integral-typefunctional downward of single death processes in the finite state space, including the Laplace transformation of its distribution and its polynomial moments as well as the distribution of staying times. As applications, a new proof for the recursive and explicit representation of high order moments of the first hitting times in the denumerable state space is presented; meanwhile, the estimates on the lower bound and the upper one of convergence rate in strong ergodicity are obtained.     

Distributions of lifetime after explosion for birth and death processes

How long can a process live after explosion for a birth and death process with explosion and lifespan σ,X ={X(t),t<σ}?Distribution of lifetime from explosion to the end of life, expected lifetime and probability of explosion which means the end of life are found.     

Unified representation of formulas for single birth processes

Based on a new explicit representation of the solution to the Poisson equation with respect to single birth processes, the unified treatment for various criteria on classical problems （including uniqueness, recurrence, ergodicity, exponential ergodicity, strong ergodicity, as well as extinction probability, etc.） for the processes are presented.     

The spectral gap for quasi-birth and death processes

For a reversible quasi-birth and death process, we generalize and refine the decomposition method, by constructing a birth-death process and a sequence of restriction processes. The spectral gap for the quasi-birth and death process is estimated in terms of the spectral gaps for these processes, and in some special cases, the estimation is sharp. With the aid of the symmetrization procedure, the result is also applied to two queueing models: M/M/1 in random environment and M/M/c with synchronous vacation.     

Products of integral-type operators and composition operators from the mixed norm space to Bloch-type spaces

Siberian Mathematical Journal - We give a complete picture of the boundedness and compactness of the products of integral-type operators and composition operators from the mixed norm space to...     

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。     

Time sensitive functionals of marked Cox processes

This paper continues studies on a multivariate marked Cox process C_t observed upon some random epochs τ={τ₁,τ₂,…} initiated in [J. Math. Anal. Appl. 293 (2004) 1-13]. The goal is to connect the continuous time parameter process C_t with C_τ for which closed-form transforms were presented in that paper. This work does not only restore some or much of the information on C_t lost due to its limited observation, but it also manages to scrutinize the behavior of C_τ around the first passage time of C_τ (that takes place upon one of the observation epochs τ) within some random time intervals. Again, analytically tractable formulas for functionals of C_τ are derived.     

关于P-凸函数的积分型Jensen不等式

基于P-凸函数的函数凸性,研究了P-凸函数的Jensen型不等式的积分形式,通过定积分的定义计算,得到了P-凸函数的积分型Jensen不等式：利用P-凸函数的一个充要条件,建立了P-凸函数的积分型Jensen不等式的加权形式．     

Practical scaled consensus for nonlinear multiagent systems with input time delay via a new distributed integral-type event-triggered scheme

This paper studies scaled-based practical consensus issue for multiagent systems with input time delay by a fully continuous communication-free integral-type event-triggered scheme. By choosing the proper scales, scaled consensus can be induced to synchronization, bipartite consensus or cluster consensus. By defining a continuous communication-free measurement error for the integral-type event-triggered mechanism, the new integral-type event-triggered condition is proposed which can not only reduce the energy consumption but also prolong the interevent time. Then, with time domain analysis method, the distributed integral-type event-triggered control problem for nonlinear general multiagent systems involving input time delay is investigated and then the second-order counterpart, with a calculated upper-bound for time-delay. Moreover, it is concluded that with such event-triggered protocols, practical scaled consensus can be achieved without the exhibition of Zeno behavior. At last, simulations are shown to support the results.     

On the distribution of exponential functionals for Lévy processes with jumps of rational transform

We derive explicit formulas for the Mellin transform and the distribution of the exponential functional for Lévy processes with rational Laplace exponent. This extends recent results by Cai and Kou [3] on the processes with hyper-exponential jumps.     

Markov process functionals in finance and insurance

The Markov property of Markov process functionals which are frequently used in economy, finance, engineering and statistic analysis is studied. The conditions to judge Markov property of some important Markov process functionals are presented, the following conclusions are obtained： the multidimensional process with independent increments is a multidimensional Markov process; the functional in the form of path integral of process with independent increments is a Markov process; the surplus process with the doubly stochastic Poisson process is a vector Markov process. The conditions for linear transformation of vector Markov process being still a Markov process are given.     

两类生灭过程的特征数及其概率意义

文章研究以0为反射壁和以0为拟飞射壁的两种生灭过程.通过引入线性方程组和推移算子,证明了朱全新等人(2004)的三个主要结果;准确地定义了mai,eai,Nai,Ra(a≥0)等一系列特征数,并表明了这些特征数的概率意义;最后,求出了Ra<∞(a≥0)的一个等价条件.应该注意的是:杨向群(1986),王梓坤(1996)的一些结果是这里a=0时的特例,因此从某种意义上说,此文是对杨向群(1986),王梓坤(1996)的结果的进一步推广和完善.     

Moments of first hitting times for birth-death processes on trees

An explicit and recursive representation is presented for moments of the first hitting times of birth-death processes on trees. Based on that, the criteria on ergodicity, strong ergodicity, and l-ergodicity of the processes as well as a necessary condition for exponential ergodicity are obtained.     

Some properties of repeated hits after first explosion for birth and death processes

Of repeated hits and repeated explosions after first explosion for a birth and death process with explosion some properties are investigated. The properties of repeated hits after first explosion may be expressed by the properties of the first hit after the first explosion. Project supported by the National Natural Science Foundation of China (Grant No. 19761028) and the Centre of Researching Mathematics and Forstering Higher Talent, the Ministry of Education of China.     

Unified characteristic numbers and solutions of equations for birth and death processes with barriers

The state 0 of a birth and death process with state space E = {0, 1, 2,....} is a barrier which can be classified into four kinds： reflection, absorption, leaping reflection, quasi-leaping reflection. For the first, second and fourth barriers, the characteristic numbers of different forms have been introduced. In this paper unified characteristic numbers for birth and death processes with barriers were introduced, the related equations were solved and the solutions were expressed by unified characteristic numbers. This paper concerns work solving probability construction problem of birth and death processes with leaping reflection barrier and quasi-leaping reflection barrier.