变化环境下Galton-Watson过程的极限理论

研究了变化环境下的Galton-Watson过程.当环境的期望和方差有限时,给出了几乎处处环境下的首达时极限定理,以及log Z_n的大偏差定理.     

非时齐复合泊松过程下对偶风险模型的破产特征量研究

将经典的对偶风险模型中的收益到达过程推广为非时齐的泊松过程.运用经典方法和时变方法,计算了该模型下的破产概率,并定义了时变后相应模型的广义期望折罚函数,验证了时变方法对非时齐泊松风险模型的有效性,最后又考虑了该模型在带壁分红策略下的情形,当单次索赔额服从指数分布时,得到了它的期望折罚函数以及期望折现分红函数.     

一类随机利率下的破产时罚金折现期望

本文在经典风险模型下, 引进带有一种随机利率的破产时罚金折现期望的概念, 其利率的随机性通过标准Wiener过程和Poisson过程来描述. 给出破产时罚金折现期望所满足的更新方程, 并利用这个更新方程给出破产时罚金折现期望的渐近公式.     

概率最优停止问题

本文在时齐马氏序列中引入了概率最优停时和(ε,B)概率最优停时的概念,得到了其显式表达式,从而在某种程度上弥补了期望最优时的不足.同时,本文研究了两种停止问题的关系,指出期望最优停时也是概率最优停时的特例,并证明了集合首达时也是一种概率最优时,进一步给出了首达时为有限的等价条件.     

一类半线性抛物型燃烧爆炸模型的数值解

本文研究一类燃烧爆炸数学模型的有限差分解法.方程的指数源项刻画了Arrhenius反应速率,常用于模拟刚性点火过程.通过引入截断函数,原问题转化为具有一致有界连续解的近似模型.当截断常数充分大时,模型的爆破解和几乎完全爆破解可以通过求解近似系统获得,且求解过程不产生数值爆炸.适当优化步长选择,爆破位置和爆破时刻的逼近效果比直接离散原问题求解更简单,计算效果更好.最后,数值实验验证了理论分析的结果和模型的物理性质.     

暂留对称扩散过程全占据时的大偏差

本文讨论暂留对称扩散过程的全占据时的大偏差．我们证明在一致椭圆条件下,暂留对称扩散过程的全占据时满足大偏差原理．     

圈上的多重懒惰随机游走

本文考虑了n个定点的圈上的多重懒惰随机游走.利用偶和方法证明了其最大相遇时的期望的阶数为h_(max)×log n,其中h_(max)为圈上的一简单随机游走的最大击中时.     

带有相依重尾冲击的Poisson噪音过程尾的一致渐近性质

本文考虑了带有某种相依重尾冲击的Poisson噪音过程尾的一致渐近性质.当冲击是二元上尾渐近独立的非负随机变量具有长尾和控制变化尾分布且噪音函数具有正的上下界时,得到了过程尾概率的一致渐近公式.进而,当冲击具有连续的一致变化尾分布时,去除了噪音函数具有正的下界的限制.对于噪音函数不一定具有正的上界的情形,当冲击具有两两负象限相依结构时,也得到了一致渐近性结果.     

g-期望的分布不变性

当g-期望具有分布不变性时,给出了g所满足的充要条件.并证明了当且仅当g为零时,g-期望其有分布不变性.     

随机观察时间对偶风险模型中的期望折现罚函数

考虑了复合Poisson风险过程的对偶模型,当观察时间间距分别为指数分布和Erlang(n)分布时,得到了期望折现罚函数的积分-微分方程.假设随机收入服从指数分布情形时,给出了期望折现罚函数的解析表达式.最后进行了数值模拟.     

收敛函数列一致(R)可积的一个必要条件

给出了收敛的一致(R)可积函数列的一致有界性定理,并指出一致有界是收敛的(R)可积函数列一致(R)可积的必要条件,但不是充分条件.     

Eigentime identity for transient Markov chains

An eigentime identity is proved for transient symmetrizable Markov chains. For general Markov chains, if the trace of Green matrix is finite, then the expectation of first leap time is uniformly bounded, both of which are proved to be equivalent for single birth processes. For birth-death processes, the explicit formulas are presented. As an application, we give the bounds of exponential convergence rates of (sub-) Markov semigroup Pt from l_∞ to l_∞.     

The converse Lyapunov’s theorem for ODEs of Carathéodory type

The converse problem of Lyapunov stability for systems of ODEs of Caratheodory type is considered. It is proved that if the right hand side of an ODE satisfies only the Osgood condition, the uniform stability of the origin is sufficient to the existence of a locally Lipschitz continuous Lyapunov function. Actually, the uniform stability is equivalent to the robust stability in this case. Moreover, as an auxiliary result, the generalization of the famous Gronwall-Bellman-Bihari inequality is also proved.     

On a stochasticprocess determined by the conditional expectation and the conditionalvariance

The aim of this paper isto give a characterization theorem for Gaussian processes.It is wellknown that for Gaussian processes the conditional expectation is alinear function of the states of the process and the conditionalvariance is a deterministic function. In the presentpaper we show aconverse implication. We prove that these two conditions and Lipschitz condition for the covariance function characteristicGaussian processes. The proof is based on a limit theorem for sums ofdependent random variables.     

On efficient stopping times

This paper is devoted to efficient sequential estimation in stochastic processes whose corresponding sufficient statistics are processes with stationary independent increments. It is proved that a stopping time is efficient if and only if it represents a time of the first attaining of a hyperplane., which cannot ‘be passed’, in the sense which is made precise below. The problem of determining the explicit form of the hyperplanes which cannot ‘be passed’ is also discussed.     

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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.     

Uniform approximation by polynomial solutions of second-order elliptic equations, and the corresponding Dirichlet problem

Conditions for the uniform approximability of functions by polynomial solutions of second-order elliptic equations with constant complex coefficients on compact sets of special form in ?² are studied. The results obtained are of analytic character. Conditions of solvability and uniqueness for the corresponding Dirichlet problem are also studied. It is proved that the polynomial approximability on the boundary of a domain is not generally equivalent to the solvability of the corresponding Dirichlet problem.     

In some symmetric spaces monotonicity properties can be reduced to the cone of rearrangements

Geometric properties being the rearrangement counterparts of strict monotonicity, lower local uniform monotonicity and upper local uniform monotonicity in some symmetric spaces are considered. The relationships between strict monotonicity, upper local uniform monotonicity restricted to rearrangements and classical monotonicity properties (sometimes under some additional assumptions) are showed. It is proved that order continuity and lower uniform monotonicity properties for rearrangements of symmetric spaces together are equivalent to the classical lower local uniform monotonicity for any symmetric space over a \({\sigma}\)-finite complete and non-atomic measure space. It is also showed that in the case of order continuous symmetric spaces over a \({\sigma}\)-finite and complete measure space, upper local uniform monotonicity and its rearrangement counterpart shortly called ULUM* coincide. As an application of this result, in the case of a non-atomic complete finite measure a new proof of the theorem which is already known in the literature, giving the characterization of upper local uniform monotonicity of Orlicz–Lorentz spaces, is presented. Finally, it is proved that every rotund and reflexive space X such that both X and X* have the Kadec-Klee property is locally uniformly rotund. Some other results are also given in the first part of Sect. 2.     

Loop-erased random walk on the Sierpinski gasket

In this paper the loop-erased random walk on the finite pre-Sierpiński gasket is studied. It is proved that the scaling limit exists and is a continuous process. It is also shown that the path of the limiting process is almost surely self-avoiding, while having Hausdorff dimension strictly greater than 1. The loop-erasing procedure proposed in this paper is formulated by erasing loops, in a sense, in descending order of size. It enables us to obtain exact recursion relations, making direct use of ‘self-similarity’ of a fractal structure, instead of the relation to the uniform spanning tree. This procedure is proved to be equivalent to the standard procedure of chronological loop-erasure.     

全变差有界函数列的一致(R)可积性

给出了一致有界单调函数列一致可积性定理 ,由此得出全变差序列有界的收敛函数列的一致可积性 .说明了该结论可判断一些非一致收敛函数列的逐项积分性质 .