一类暂留稳定过程的极限定理

本文研究了Ａ型暂留稳定过程在无穷远处的收敛速度，给出了一个重对数律．同时我们也得出了这类过程在起始点附近的一些性质．这些性质推广了［１］中的结果     

完备可分度量群上的齐次Levy过程的复合Poisson逼近

该文利用算子半群的方法给出了取值于具有左不变度量的完备可分群的齐次Levy过程是复合Poisson过程的弱极限这一结论．     

OU型Markov过程的不变测度及弱对偶性

本文研究ＯＵ型Ｍａｒｋｏｖ过程的不变测度、参考测度和弱对偶半群的存在性问题，并得出了不变测度的唯一性。     

Banach空间中一类非线性算子Ishikawa迭代序列收敛定理

在一般的Banach空间中,研究了Ishikawa迭代序列收敛问题,去掉了通常文献中关于空间X的一致光滑或S-一致光滑的严格要求,此外,还去掉或减弱了其它某些条件。因而本质地改进了近期文献的一系列相应定理。     

GIRSANOV'S THEOREM ON ABSTRACT WIENER SPACES

ＧＩＲＳＡＮＯＶ’ＳＴＨＥＯＲＥＭＯＮＡＢＳＴＲＡＣＴＷＩＥＮＥＲＳＰＡＣＥＳＺＨＡＮＧＹＩＮＮＡＮＡｂｓｔｒａｃｔＬｅｔ（Ｅ，Ｈ，μ）ｂｅａｎａｂｓｔｒａｃｔＷｉｅｎｅｒｓｐａｃｅｉｎｔｈｅｓｅｎｓｅｏｆＬ．Ｇｒｏｓ．Ｉｔｉｓｐｒｏｖｅｄｔｈ...     

Assessing the Error Probability of the Model Selection Test

The asymptotic error probability of Linhart's model selection test isevaluated, and compared with the nominal significance level. We examine thecase where the expected discrepancies of the candidate models from the truemodel are asymptotically equal. The local alternatives method is employed inthe limiting operation of the asymptotic evaluation. Although the errorprobability under the null hypothesis is actually shown to be equal to orless than the level for most situations, intolerable violations of the errorcontrol are observed for nested models: It is often erroneously concludedthat the smaller model is significantly better than the larger model. Toprevent this violation, a modification of Linhart's test statistic isproposed. The effectiveness of the proposed test is confirmed throughtheoretical analysis and numerical simulations.     

Computation of the quasi-stationary distributions inM(n)/GI/1/K andGI/M(n)/1/K queues

In this paper, we provide numerical means to compute the quasi-stationary (QS) distributions inM/GI/1/K queues with state-dependent arrivals andGI/M/1/K queues with state-dependent services. These queues are described as finite quasi-birth-death processes by approximating the general distributions in terms of phase-type distributions. Then, we reduce the problem of obtaining the QS distribution to determining the Perron-Frobenius eigenvalue of some Hessenberg matrix. Based on these arguments, we develop a numerical algorithm to compute the QS distributions. The doubly-limiting conditional distribution is also obtained by following this approach. Since the results obtained are free of phase-type representations, they are applicable for general distributions. Finally, numerical examples are given to demonstrate the power of our method.     

Stationary Distribution Function Estimation for Ergodic Diffusion Process

The problem of nonparametric stationary distribution function estimation by the observations of an ergodic diffusion process is considered. The local asymptotic minimax lower bound on the risk of all the estimators is found and it is proved that the empirical distribution function is asymptotically efficient in the sense of this bound.     

Vasicek债券定价模型的推广形式

V asicek债券定价模型假定即期利率r(t)遵循O-U过程,利率的长期均值θ为一个常数.对此进行推广,假设θ遵循一个离散跳跃过程,跳跃的次数与幅度由中央银行根据物价指数确定,建立一个新的模型.运用Ito引理和无套利原理给出到期日价值为1的零息票债券的定价公式.