On the maximal domain of attraction of Tracy–Widom distribution for Gaussian unitary ensembles

The asymptotic distribution of the largest eigenvalue of various classes of random matrices has been shown to have the Tracy–Widom distribution. In this article, we prove that the standardised maximum of an independent and identically distributed sequence of random variables having the Tracy–Widom distribution arising from the Gaussian unitary ensemble belongs to the Gumbel domain of attraction.     

A new approach for solving linear bilevel problems using genetic algorithms

Bilevel programming involves two optimization problems where the constraint region of the first level problem is implicitly determined by another optimization problem. This paper develops a genetic algorithm for the linear bilevel problem in which both objective functions are linear and the common constraint region is a polyhedron. Taking into account the existence of an extreme point of the polyhedron which solves the problem, the algorithm aims to combine classical extreme point enumeration techniques with genetic search methods by associating chromosomes with extreme points of the polyhedron. The numerical results show the efficiency of the proposed algorithm. In addition, this genetic algorithm can also be used for solving quasiconcave bilevel problems provided that the second level objective function is linear.     

Some aspects of extreme value statistics under serial dependence

On the occasion of Laurens de Haan’s 70th birthday, we discuss two aspects of the statistical inference on the extreme value behavior of time series with a particular emphasis on his important contributions. First, the performance of a direct marginal tail analysis is compared with that of a model-based approach using an analysis of residuals. Second, the importance of the extremal index as a measure of the serial extremal dependence is discussed by the example of solutions of a stochastic recurrence equation.      

High frequency intrinsic modes in El Niño/Southern Oscillation Index

Recent daily data of the Southern Oscillation Index have been analyzed. The power spectrum indicates major intrinsic geophysical short periods. We find interesting “high frequency” oscillations at 24, 27, 37, 76, 100 and 365 days. In particular the 24 days peaks may correspond to the Branstator-Kushnir wave, the 27 days may be due to the moon effect rotation, the 37 days peaks are most probably related to the Madden and Julian Oscillation. It is not yet clear the explanations for the 76 days which may be associated with interseasonal oscillation in the tropical atmosphere; the 100 days could be resulting from a mere beat between the 37 and 27 periods, or the 76 and 365 days. We use these periods to reconstruct the signal and to produce a forecast for the next 9 months, at the time of writing. After cleansing the signal of those periodicities a detrended fluctuation analysis is performed to reveal the nature of the stochastic structures in the signal and whether specific correlation can be found. We study the evolution of the distribution of first return times, in particular between extreme events. A markedly significant difference from the expected distribution for uncorrelated events is found.     

Means of extreme points and F-spaces

Given a topological space T and a strictly convex real normed space X, let be the space of continuous and bounded functions from T into X, with its uniform norm. This paper is devoted to the study of the relation between the fact of T being an F-space and the property that every element in the unit ball of has a representation as a mean of two extreme points.     

Almost Sure Convergence in Extreme Value Theory

Let X₁, …, X_n be independent random variables with common distribution function F. Define and let G(x) be one of the extreme-value distributions. Assume F ∈ D(G), i.e., there exist a_n> 0 and b_n ∈ ? such that . Let l(?∞,x)(·) denote the indicator function of the set (?∞,x) and S(G) =: {x : 0 < G(x) < 1}. Obviously, 1(?∞,x)((M_n?b_n)/a_n) does not converge almost surely for any x ∈ S(G). But we shall prove .     

自组织临界的OFC模型在聚丙烯介电弛豫中的应用

将自组织临界中OFC模型的能量传递概念及相关参量α引入极值动力学模型,得到了同时与KWW方程和幂律均相关的介电弛豫的函数关系.用时域介电谱方法测量了聚丙烯在-15～ 90℃慢极化电荷的释放过程,结果显示:在较低温度,弛豫为幂律;在较高温度,弛豫随时间的增加从幂律过渡到KWW关系.理论分析与实验结果基本一致,由此可知KWW方程的参量β反映了外界温度对材料弛豫单元的影响;参量a反映了能量传递的大小及温度的影响,当β较小或a较大时,弛豫的幂律关系较为明显.     

有限离散时间金融市场模型

本文希望有助于数学（特别是概率方向的）工作者理解在进入数理金融领域时可能会遇到的概念和问题。为此,我们选取最简单的数学模型－有限离散时间金融市场模型。讨论该模型可以减少数学上的困难,从而注意金融背景,这也是数学工作者比较陌生和更为需要的。     

非线性双曲方程的整体解的存在性,Blow up及生命跨度

利用非线性泛函的极值原理证明了一类非线性双曲方程的Cauchy问题,当初始能量为“临界值”时整体解的存在性,Blow up问题,给出了初始能量小于临界值时非整体解的生命跨度上界的估计。