Mittag-leffler process

First-order autoregressive Mittag-Leffler process is studied. Methods for generating dependent (first-order autoregressive Markovian) sequences of random variables with Mittag-Leffier marginal distributions are discussed. Comparison of the first-order autoregressive Mittag-Leffler process with the first-order autoregressive exponential process of Gaver and Lewis [1] is done. As an application, the first-order autoregressive Mittag-Leffier process is fitted to weakly stream flows of the Kallada River in Kerala, India.     

Exponential attractors for first-order lattice dynamical systems

In l², we investigate the existence of an exponential attractor for the solution semigroup of a first-order lattice dynamical system acting on a closed bounded positively invariant set which needs not to be compact since l² is infinite dimensional. Up to our knowledge, this is the first time to examine the existence of exponential attractors for lattice dynamical systems.     

Exponential martingale for compound Poisson process with latent variable and its applications

In this article, we construct an exponential martingale for the compound Poisson process with latent variableWith the help of this exponential martingale, we provide an asymptotic behavior of the coherent entropic risk measure for the compound Poisson process and a deviation inequality for the ruin probability of the partly shifted risk process.     

Ergodic properties of some piecewise-deterministic Markov process with application to gene expression modelling

We investigate a piecewise-deterministic Markov process with a Polish state space, whose deterministic behaviour between random jumps is governed by a finite number of semiflows. We provide tractable conditions ensuring a form of exponential ergodicity and the strong law of large numbers for the chain given by the post-jump locations. Further, we establish a one-to-one correspondence between invariant measures of the chain and those of the continuous-time process. These results enable us to derive the strong law of large numbers for the latter. The studied dynamical system is inspired by certain models of gene expression, which are also discussed here.     

Exponential Martingales and Changes of Measure for Counting Processes

We give sufficient criteria for the Doléans-Dade exponential of a stochastic integral with respect to a counting process local martingale to be a true martingale. The criteria are adapted particularly to the case of counting processes and are sufficiently weak to be useful and verifiable, as we illustrate by several examples. In particular, the criteria allow for the construction of for example nonexplosive Hawkes processes, counting processes with stochastic intensities depending on diffusion processes as well as inhomogeneous finite-state Markov processes.     

Sojourn time distribution in a MAP/M/1 processor-sharing queue

This paper considers the sojourn time distribution in a processor-sharing queue with a Markovian arrival process and exponential service times. We show a recursive formula to compute the complementary distribution of the sojourn time in steady state. The formula is simple and numerically feasible, and enables us to control the absolute error in numerical results. Further, we discuss the impact of the arrival process on the sojourn time distribution through some numerical examples.     

Algebraic conditions on non-stationary subdivision symbols for exponential polynomial reproduction

We present an accurate investigation of the algebraic conditions that the symbols of a non-singular, univariate, binary, non-stationary subdivision scheme should fulfill in order to reproduce spaces of exponential polynomials. A subdivision scheme is said to possess the property of reproducing exponential polynomials if, for any initial data uniformly sampled from some exponential polynomial function, the scheme yields the same function in the limit. The importance of this property is due to the fact that several curves obtained by combinations of exponential polynomials (such as conic sections, spirals or special trigonometric and hyperbolic functions) are considered of interest in geometric modeling. Since the space of exponential polynomials trivially includes standard polynomials, this work extends the theory on polynomial reproduction to the non-stationary context. A significant application of the derived algebraic conditions on the subdivision symbols is the construction of new non-stationary subdivision schemes with specific reproduction properties.     

Portfolio selection in stochastic markets with exponential utility functions

We consider the optimal portfolio selection problem in a multiple period setting where the investor maximizes the expected utility of the terminal wealth in a stochastic market. The utility function has an exponential structure and the market states change according to a Markov chain. The states of the market describe the prevailing economic, financial, social and other conditions that affect the deterministic and probabilistic parameters of the model. This includes the distributions of the random asset returns as well as the utility function. The problem is solved using the dynamic programming approach to obtain the optimal solution and an explicit characterization of the optimal policy. We also discuss the stochastic structure of the wealth process under the optimal policy and determine various quantities of interest including its Fourier transform. The exponential return-risk frontier of the terminal wealth is shown to have a linear form. Special cases of multivariate normal and exponential returns are disussed together with a numerical illustration.     

具有修理延迟的两不同部件冷贮备系统的可靠性分析

研究了有修理延迟的两个不同部件和两个修理工组成的冷贮备系统.假定部件的工作寿命服从一般分布,故障后的延迟修理时间和修理时间均服从指数分布.利用马尔可夫更新过程、拉普拉斯变换和拉普拉斯-司梯阶变换工具,得到了系统的首次故障前时间、可用度和平均故障次数等可靠性指标.     

有优先维修权和优先使用权的冷储备系统的几何过程模型

本文研究了一个由两个部件和一个维修工组成的可修型冷储备系统.假设两个部件的工作时间和维修时间都服从指数分布,对部件2的维修是修旧如新而对部件1则是几何维修,且对部件1给予优先使用和优先维修的权利,在这些假定下,我们运用几何过程理论和补充变量方法,得到了一些重要的可靠性指标如系统可靠度、可用度、系统首次故障前平均工作时间和系统瞬时故障率等.最后还给出了维修工空闲的概率.     

Exponential quasi-dissipativity and boundedness property for switched nonlinear systems

This paper is concerned with exponential quasi-dissipativity for switched nonlinear systems using multiple storage functions and multiple supply rates. First, a new concept of exponential quasi-dissipativity for a switched nonlinear system is proposed. In contrast with dissipative system which does not produce energy in some abstract sense, the supply rate of quasi-dissipativity is the sum of the conventional dissipativity supply rate and the constant supply rate. This means quasi-dissipative system can produce energy by itself. Each active subsystem is only required to be exponentially quasi-dissipative, while the energy changing of each inactive subsystem characterized by cross-supply rates is considered as the transformation of “energy” from the active subsystem. By weakening the conventional dissipation inequality, a broader class of open-loop systems and controllers are admissible, leading to broader application. Second, the ultimate boundedness property is obtained under some constraints on the energy changing of inactive subsystems. Third, the exponential quasi-dissipativity conditions for switched nonlinear systems are obtained by the design of a state-dependent switching law. In particular, the sufficient conditions of exponential quasi-passivity and exponential finite power gain for switched nonlinear systems are given thereby providing generalizations of KYP conditions and HJI inequality. Finally, the effectiveness of the obtained results is verified by two examples.     

Universality Limits for Exponential Weights

We establish universality in the bulk for fixed exponential weights on the whole real line. Our methods involve first-order asymptotics for orthogonal polynomials and localization techniques. In particular, we allow exponential weights such as | x | ^2β g ²(x)exp (−2Q(x)), where β>−1/2, Q is convex and Q ^′′ satisfies some regularity conditions, while g is positive, and has a uniformly continuous and slowly growing or decaying logarithm.      

The Contact Process Seen from a Typical Infected Site

This paper studies contact processes on general countable groups. It is shown that any such contact process has a well-defined exponential growth rate, and this quantity is used to study the process. In particular, it is proved that on any nonamenable group, the critical contact process dies out. Research supported by GAČR grant 201/06/1323 and the German Science Foundation. Part of this work was carried out when the author was employed as a postdoc at the University of Tübingen.     

Exponential attractors for a singularly perturbed Cahn‐Hilliard system

Our aim in this article is to give a construction of exponential attractors that are continuous under perturbations of the underlying semigroup. We note that the continuity is obtained without time shifts as it was the case in previous studies. Moreover, we obtain an explicit estimate for the symmetric distance between the perturbed and unperturbed exponential attractors in terms of the perturbation parameter. As an application, we prove the continuity of exponential attractors for a viscous Cahn‐Hilliard system to an exponential attractor for the limit Cahn‐Hilliard system. (© 2004 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

股票价格服从指数O-U过程的双标的幂型欧式混合期权定价

本文讨论了股票价格服从指数O-U过程的幂型支付的双标的欧式混合期权的定价问题。利用测度变换和鞅方法,得到了其解析形式的定价公式。     

Pullback exponential attractors for nonautonomous equations Part II: Applications to reaction-diffusion systems

The existence of a pullback exponential attractor being a family of compact and positively invariant sets with a uniform bound on their fractal dimension which at a uniform exponential rate pullback attract bounded subsets of the phase space under the evolution process is proved for the nonautonomous logistic equation and a system of reaction-diffusion equations with time-dependent external forces including the case of the FitzHugh-Nagumo system.     

半马尔科夫下电场可修系统可靠性分析

众所周知,在马尔科夫模型下,在每个状态下的逗留时间服从指数分布,这经常太受限制,尤其是在电场可修系统中,不太适合操作数据要求.因此,提出了利用半马尔科夫过程去研究电场可修系统,而且,利用了马尔科夫更新理论和概率分析方法讨论了电场系统的稳态可用度.最后,通过一个数值例子陈述了获得的结果.     

Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions

This paper considers multi-dimensional affine processes with continuous sample paths. By analyzing the Riccati system, which is associated with affine processes via the transform formula, we fully characterize the regions of exponents in which exponential moments of a given process do not explode at any time or explode at a given time. In these two cases, we also compute the long-term growth rate and the explosion rate for exponential moments. These results provide a handle to study implied volatility asymptotics in models where log-returns of stock prices are described by affine processes whose exponential moments do not have an explicit formula.     

Global exponential stability of certain switched systems with time-varying delays

This paper is focused on global exponential stability of certain switched systems with time-varying delays. By using an average dwell time (ADT) approach that is different from the method in [P.H.A. Ngoc, On exponential stability of nonlinear differential systems with time-varying delay, Applied Mathematics Letters 25 (2012) 1208–1213], we establish a new global exponential stability criterion for the switched linear time-delay system under the ADT switching. We also apply this method to a general switched nonlinear time-delay system. A numerical example is given to show the effectiveness of our results.     

Large Deviation Principle for Optimal Filtering

Abstract. We derive a large deviation principle for the optimal filter where the signal and the observation processes take values in conuclear spaces. The approach follows from the framework established by the author in an earlier paper. The key is the verification of the exponential tightness for the optimal filtering process and the exponential continuity of the coefficients in the Zakai equation.