Topological regular variation: II. The fundamental theorems

This paper investigates fundamental theorems of regular variation (Uniform Convergence, Representation, and Characterization Theorems) some of which, in the classical setting of regular variation in R, rely in an essential way on the additive semigroup of natural numbers N (e.g. de Bruijn's Representation Theorem for regularly varying functions). Other such results include Goldie's direct proof of the Uniform Convergence Theorem and Seneta's version of Kendall's theorem connecting sequential definitions of regular variation with their continuous counterparts (for which see Bingham and Ostaszewski (2010) [13]). We show how to interpret these in the topological group setting established in Bingham and Ostaszewski (2010) [12] as connecting N-flow and R-flow versions of regular variation, and in so doing generalize these theorems to Rd. We also prove a flow version of the classical Characterization Theorem of regular variation.     

Topological regular variation: I. Slow variation

Motivated by the Category Embedding Theorem, as applied to convergent automorphisms (Bingham and Ostaszewski (in press) [11]), we unify and extend the multivariate regular variation literature by a reformulation in the language of topological dynamics. Here the natural setting are metric groups, seen as normed groups (mimicking normed vector spaces). We briefly study their properties as a preliminary to establishing that the Uniform Convergence Theorem (UCT) for Baire, group-valued slowly-varying functions has two natural metric generalizations linked by the natural duality between a homogenous space and its group of homeomorphisms. Each is derivable from the other by duality. One of these explicitly extends the (topological) group version of UCT due to Bajšanski and Karamata (1969) [4] from groups to flows on a group. A multiplicative representation of the flow derived in Ostaszewski (2010) [45] demonstrates equivalence of the flow with the earlier group formulation. In companion papers we extend the theory to regularly varying functions: we establish the calculus of regular variation in Bingham and Ostaszewski (2010) [13] and we extend to locally compact, σ-compact groups the fundamental theorems on characterization and representation (Bingham and Ostaszewski (2010) [14]). In Bingham and Ostaszewski (2009) [15], working with topological flows on homogeneous spaces, we identify an index of regular variation, which in a normed-vector space context may be specified using the Riesz representation theorem, and in a locally compact group setting may be connected with Haar measure.     

The Index Theorem of topological regular variation and its applications

We develop further the topological theory of regular variation of [N.H. Bingham, A.J. Ostaszewski, Topological regular variation: I. Slow variation, LSE-CDAM-2008-11]. There we established the uniform convergence theorem (UCT) in the setting of topological dynamics (i.e. with a group T acting on a homogenous space X), thereby unifying and extending the multivariate regular variation literature. Here, working with real-time topological flows on homogeneous spaces, we identify an index of regular variation, which in a normed-vector space context may be specified using the Riesz representation theorem, and in a locally compact group setting may be connected with Haar measure.     

关于LF拓扑空间的正则闭分离性

利用正则闭集概念在LF拓扑空间中引入RC-正则(正规)分离性概念,给出了它们的刻画,并利用广义Zadeh型函数证明了它们是LF拓扑性质,在LF拓扑空间的半正则化中RC-正则(正规)分离性与正则(正规)分离性是等价的.     

Hidden Regular Variation, Second Order Regular Variation and Asymptotic Independence

We survey the related asymptotic properties of multivariate distributions; (i) asymptotic independence, (ii) hidden regular variation, and (iii) multivariate second order regular variation. Connections and implications are discussed. The point of view of convergence of measures is emphasized in formulations because we are interested in the concepts being coordinate system free, whenever possible.     

L-fuzzy拓扑空间中的包含式正则分离性

本文首先在一般L-fuzzy拓扑空间中引入了包含式正则分离性的概念.其次将包含式正则分离性与点式正则分离性及正则分离性作了比较,讨论了它们之间的相互蕴含关系.最后说明了包含式正则分离性与包含式正规分离性及包含式完全正则分离性之间的协调性.     

Coreflections Versus Regular Epimorphisms in Categories of Topological Spaces

Let be an epireflective subcategory of the category Top of topological spaces which is not contained in the category of indiscrete spaces (e.g. Top, the category of Hausdorff spaces, the category of Tychonoff spaces) and be a coreflective subcategory of . In this paper we prove that the coreflector preserves regular epimorphisms if and only if or is contained in the category of discrete spaces.     

The Ruin Probability in the Presence of Extended Regular Variation and Optimal Investment

Considering the classical model with risky investment, we are interested in the ruin probability that is minimized by a suitably chosen investment strategy for a capital market index. For claim sizes with common distribution of extended regular variation, starting from an integro-differential equation for the maximal survival probability, we find that the corresponding ruin probability as a function of the initial surplus is also extended regular variation.     

Characterizations and Examples of Hidden Regular Variation

Random vectors on the positive orthant whose distributions possess hidden regular variation are a subclass of those whose distributions are multivariate regularly varying. The concept is an elaboration of the coefficient of tail dependence of Ledford and Tawn (1996, 1997). We provide characterizations and examples of such distribution in terms of mixture models and product models.Sidney Resnicks research was partially supported by NSF grant DMS-0303493 and NSA grant MSPF-02G-183 at Cornell University.This revised version was published online in March 2005 with corrections to the cover date.     

Topological dynamics of retarded functional differential equations

We prove that a local flow can be constructed for a general class of nonautonomous retarded functional differential equations (RFDE). This is an extension to a result of Artstein (J. Differential Equations 23 (1977) 216) and fits in the classical theory of R. Miller and G. Sell. The main tool in this paper are generalized ordinary differential equations according to Kurzweil (Czech. Math. J. 7 (82) (1957) 418). In obtaining our results, we must prove the space of RFDEs can be embedded in a space of generalized ordinary differential equations. In opposition to the technical hypotheses of Oliva and Vorel (Bol. Soc. Mat. Mexicana 11 (1996) 40), this auxiliary result, as we present, is advantageous in the sense that our assumptions have an explanatory character. Applications based on topological dynamics techniques follow naturally from our results. As an illustration of this fact we show how to achieve in this setting a theorem on continuous dependence on initial data of solutions of RFDEs.     

Regular variation and probability: The early years

It is a pleasure for Bingham of Bingham, Goldie and Teugels to write in appreciation of Teugels of Bingham, Goldie and Teugels, on the occasion of Jef Teugels’ retirement, and also to remind myself of the promise we made each other—all those years ago, in the early 1970s—to write the book that regular variation so obviously required. The theme has continued to attract my interest, Jef's and that of his pupils since. As for the book (BGT below), it continues to be my most cited work, and to find its place in the working library of probabilists.     

正则变化场合常数利息力度的破产概率

研究了常数利息力度下的破产概率.在索赔来到过程为更新过程,索赔额分布为Pareto型的场合下,得到了有限索赔次数破产概率的渐进表达公式.该结果推广了Kluppelberg和Stadtmuller(1998)和Qihe Tang(2005)的结果.     

Topological horseshoes

When does a continuous map have chaotic dynamics in a set ? More specifically, when does it factor over a shift on symbols? This paper is an attempt to clarify some of the issues when there is no hyperbolicity assumed. We find that the key is to define a ``crossing number' for that set . If that number is and 1$">, then contains a compact invariant set which factors over a shift on symbols.

     

Topological dynamics for multidimensional perturbations of maps with covering relations and Liapunov condition

In this paper, we study topological dynamics of high-dimensional systems which are perturbed from a continuous map on Rm×Rk of the form (f(x),g(x,y)). Assume that f has covering relations determined by a transition matrix A. If g is locally trapping, we show that any small C⁰ perturbed system has a compact positively invariant set restricted to which the system is topologically semi-conjugate to the one-sided subshift of finite type induced by A. In addition, if the covering relations satisfy a strong Liapunov condition and g is a contraction, we show that any small C¹ perturbed homeomorphism has a compact invariant set restricted to which the system is topologically conjugate to the two-sided subshift of finite type induced by A. Some other results about multidimensional perturbations of f are also obtained. The strong Liapunov condition for covering relations is adapted with modification from the cone condition in Zgliczyński (2009) [11]. Our results extend those in Juang et al. (2008) [1], Li et al. (2008) [2], Li and Malkin (2006) [3], Misiurewicz and Zgliczyński (2001) [4] by considering a larger class of maps f and their multidimensional perturbations, and by concluding conjugacy rather than entropy. Our results are applicable to both the logistic and Hénon families.     

The Steinhaus theorem and regular variation: de Bruijn and after

The contributions of N.G. de Bruijn to regular variation, and recent developments in this field, are discussed. A new version of the Uniform Convergence Theorem is given.     

On the total variation, topological entropy and sensitivity for interval maps

A concept related to total variation termed H₁ condition was recently proposed to characterize the chaotic behavior of an interval map f by Chen, Huang and Huang [G. Chen, T. Huang, Y. Huang, Chaotic behavior of interval maps and total variations of iterates, Internat. J. Bifur. Chaos 14 (2004) 2161-2186]. In this paper, we establish connections between H₁ condition, sensitivity and topological entropy for interval maps. First, we introduce a notion of restrictiveness of a piecewise-monotone continuous interval map. We then prove that H₁ condition of a piecewise-monotone continuous map implies the non-restrictiveness of the map. In addition, we also show that either H₁ condition or sensitivity then gives the positivity of the topological entropy of f.     

Elementary Regular Rings. II

We extend the well-known result by Burris and Werner on existence of defining sequences for elementary products of models to arbitrary enrichments of Boolean algebras (we obtain a complete analog of the Feferman–Vaught theorem). This enables us to establish decidability of the elementary theory of a classical object of number theory, the ring of adeles.     

Multivariate extremes and the aggregation of dependent risks: examples and counter-examples

Properties of risk measures for extreme risks have become an important topic of research. In the present paper we discuss sub- and superadditivity of quantile based risk measures and show how multivariate extreme value theory yields the ideal modeling environment. Numerous examples and counter-examples highlight the applicability of the main results obtained.      

On optimality of regular projective estimators for semimartingale models,part ii: asymptotically linear estimators

In this paper we consider estimators that (asymptotically) admit a so called linear representation. Using a parametrization of the model, that has been defined in a previous paper [1], and a certain notion of smoothness of the parametrization, it is possible to define a concept of optimality for these estimators and to characterize the optimal estimators. In contrast with the situation in [1], only the compensator is fully parametrized by the parameter we want to estimate. Embedding the problem under consideration in the previously developed framework then requires the introduction of several nuisance parameters, that are needed to describe certain stochastic integrals with respect to the compensator of the jump measure