Some Results for the Compound Poisson Process That Is Perturbed by Diffusion

Abstract In the present paper surplus process perturbed by diffusion are considered.The distributions ofthe surplus immediately before and at ruin corresponding to the probabilities of ruin caused by oscillation andruin caused by a claim are studied.Some joint distribution densities are obtained.Techniques from martingaletheory and renewal theory are used.     

杜芬方程的1/3纯亚谐解及过渡过程的分形特征研究

通过谐波平衡法和数值积分法研究了杜芬方程的1／3纯亚谐解．提出假设解，找出了亚谐频域，并对参数变化的过渡过程的敏感性和初始值扰动的过渡过程进行了研究．考察了亚谐响应幅值系数对阻尼的敏感性及亚谐振动谐波成分的渐近稳态性．此外，运用广义分形理论对杜芬方程纯亚谐解过渡过程进行了分析．分析表明，广义维数的敏感维数能清楚地描述杜芬方程纯亚谐解过渡过程特征；并对改变初始扰动、阻尼系数、激励幅值情况下，其两个不同频域的杜芬方程纯亚谐解过渡过程的不同分形特性显现出敏感性．     

A matricial extension of the Helson-Sarason theorem and a characterization of some multivariate linearly completely regular processes

We generalize the theorems of Helson-Szegö and Helson-Sarason for matricial measures. We study two-weighted inequalities for the Hilbert transform in [0, 2π] and in R and give a characterization for the positivity of the angle between past and future of multivariate weakly stationary stochastic processes, in the discrete and the continuous case. We also characterize the multivariate weakly stationary stochastic processes that are linearly completely regular and study the rate of convergence of the maximal correlation coefficient.     

随机利率下的风险模型

本文考虑一种具有随机利率的风险模型。对随机利率则取一般的独立增量过程 ,得到总索赔额精算现值的各阶矩 ,并在某些条件下给出矩的具体表达式     

商店出售易腐烂物品所得收益的马尔可夫骨架过程建模

本文中,我们应用马尔可夫骨架过程的理论建立了商店出售易腐烂物品所得盈利的数学模型,并且用向后方程刻画了盈利额的一维分布.     

Tail Bounds for the Supremums of Empirical Processes over Unbounded Classes of Functions

So far the study of exponential bounds of an empirical process has been restricted to a bounded index class of functions. The case of an unbounded index class of functions is now studied on the basis of a new symmetrization idea and a new method of truncating the original probability space; the exponential bounds of the tail probabilities for the supremum of the empirical process over an unbounded class of functions are obtained. The exponential bounds can be used to establish laws of the logarithm for the empirical processes over unbounded classes of functions.     

Chernoff's Theorem and Discrete Time Approximations of Brownian Motion on Manifolds

Let be a one-parameter family of positive integral operators on a locally compact space . For a possibly non-uniform partition of define a finite measure on the path space by using a) for the transition between any two consecutive partition times of distance and b) a suitable continuous interpolation scheme (e.g. Brownian bridges or geodesics). If necessary normalize the result to get a probability measure. We prove a version of Chernoff's theorem of semigroup theory and tightness results which yield convergence in law of such measures as the partition gets finer. In particular let be a closed smooth submanifold of a manifold . We prove convergence of Brownian motion on , conditioned to visit at all partition times, to a process on whose law has a density with respect to Brownian motion on which contains scalar, mean and sectional curvatures terms. Various approximation schemes for Brownian motion on are also given.      

Spectral Gap for Stable Process on Convex Planar Double Symmetric Domains

We study the semigroup of the symmetric α-stable process in bounded domains in R ². We obtain a variational formula for the spectral gap, i.e. the difference between two first eigenvalues of the generator of this semigroup. This variational formula allows us to obtain lower bound estimates of the spectral gap for convex planar domains which are symmetric with respect to both coordinate axes. For rectangles, using “midconcavity” of the first eigenfunction (Bañuelos et al., Potential Anal. 24(3): 205–221, 2006), we obtain sharp upper and lower bound estimates of the spectral gap.     

Doubly stochastic Yule cascades (Part I): The explosion problem in the time-reversible case

Motivated by the probabilistic methods for nonlinear differential equations introduced by McKean (1975) for the Kolmogorov-Petrovski-Piskunov (KPP) equation, and by Le Jan and Sznitman (1997) for the incompressible Navier-Stokes equations (NSE), we identify a new class of stochastic cascade models, referred to as doubly stochastic Yule cascades. We establish non-explosion criteria under the assumption that the randomization of Yule intensities from generation to generation is by an ergodic time-reversible Markov process. In addition to the cascade models that arise in the analysis of certain deterministic nonlinear differential equations, this model includes the multiplicative branching random walks, the branching Markov processes, and the stochastic generalizations of the percolation and/or cell ageing models introduced by Aldous and Shields (1988) and independently by Athreya (1985).     

A real-time monitoring approach for bivariate event data

Early detection of changes in the frequency of events is an important task in many fields, such as disease surveillance, monitoring of high-quality processes, reliability monitoring, and public health. This article focuses on detecting changes in multivariate event data by monitoring the time-between-events (TBE). Existing multivariate TBE charts are limited because they only signal after an event occurred for each of the individual processes. This results in delays (i.e., long time-to-signal), especially when we are interested in detecting a change in one or a few processes with different rates. We propose a bivariate TBE chart, which can signal in real-time. We derive analytical expressions for the control limits and average time-to-signal performance, conduct a performance evaluation and compare our chart to an existing method. Our findings showed that our method is an effective approach for monitoring bivariate TBE data and has better detection ability than the existing method under transient shifts and is more generally applicable. A significant benefit of our method is that it signals in real-time and that the control limits are based on analytical expressions. The proposed method is implemented on two real-life datasets from reliability and health surveillance.