Longtime Behaviour of Stochastic Hamiltonian Systems: The Multidimensional Case

Hamiltonian systems perturbed by a white noise force are discussed in several dimensions. By using an appropriate scaling of the stochastic force a convergence theorem for the invariants of the deterministic motion is proved. This corresponds to convergence of the system to a stationary distribution. Especially motion in a central force field is considered; the energy and angular momentum processes are investigated.     

Dynamics and scaling of noise-induced domain growth

The domain growth processes originating from noise-induced nonequilibrium phase transitions are analyzed, both for non-conserved and conserved dynamics. The existence of a dynamical scaling regime is established in the two cases, and the corresponding growth laws are determined. The resulting universal dynamical scaling scenarios are those of Allen-Cahn and Lifshitz-Slyozov, respectively. Additionally, the effect of noise sources on the behaviour of the pair correlation function at short distances is studied. Received 28 June 2000 and Received in final form 29 September 2000     

A new universality for random sequential deposition of needles

Percolation and jamming phenomena are investigated for random sequential deposition of rectangular needles on d=2 square lattices. Associated thresholds and are determined for various needle sizes. Their ratios are found to be a constant for all sizes. In addition the ratio of jamming thresholds for respectively square blocks and needles is also found to be a constant . These constants exhibit some universal connexion in the geometry of jamming and percolation for both anisotropic shapes (needles versus square lattices) and isotropic shapes (square blocks on square lattices). A universal empirical law is proposed for all three thresholds as a function of a. Received 27 January 2000 and Received in final form 2 February 2000     

Projection Method for Moment Bounds on Order Statistics from Restricted Families: II. Independent Case

The method of projection, proposed in Part I, is applied to derive sharp moment bounds for the expectations of order statistics based onindependentsamples from restricted families of distributions. Three families are considered: life distributions with decreasing failure density, decreasing failure rate, and symmetric unimodal ones. The respective bounds are also numerically compared with those for general populations in both the dependent and independent cases.     

RUC-Bases in Orlicz and Lorentz Operator Spaces

If is an RUC-basis in somecouple of non-commutative L _p-spaces, then is an RUC-basic sequence in any non-commutative Orlicz or Lorentz space which is an interpolation space for this couple.     

Relationships Between Various Outer Measures Induced by Lattice Measures

In this paper, we work with lattice spaces. (A lattice space is an ordered pair consisting of a set X and a lattice on X). As is known, each lattice measure µ induces six outer measures on P(X), one of which is the well-known "induced outer measure" µ^*(in case µ is countably additive); the others are µ, µ, µ,, and .In the first part of the paper, we consider an arbitrary lattice measure and discover various relationships involving two or more of the seven set functions under consideration, on P(X) and on various special subsets of P(X), under various conditions on the measure or on the lattice.In the second part of the paper, we consider two lattice measures related by "domination" and obtain similar results.In the third part of the paper, we consider two lattice measures related by "restriction" and obtain similar results.     

On the strong convergence rate for positively associated random variables

For sequences of the positively associated random variables which are strictly weaker than the classical associated random ones introduced by Esary et al. (1967) [7], strong convergence rate is obtained, which reaches the available one for independent random variables in terms of Berstein type inequality. Further, we give the corresponding precise asymptotics with respect to the rate mentioned above, which extend and improve the relevant results in Fu (2009) [8].     

Sensitivity of risk measures with respect to the normal approximation of total claim distributions

A simple and commonly used method to approximate the total claim distribution of a (possibly weakly dependent) insurance collective is the normal approximation. In this article, we investigate the error made when the normal approximation is plugged in a fairly general distribution-invariant risk measure. We focus on the rate of convergence of the error relative to the number of clients, we specify the relative error’s asymptotic distribution, and we illustrate our results by means of a numerical example. Regarding the risk measure, we take into account distortion risk measures as well as distribution-invariant coherent risk measures.     

An explicit model of default time with given survival probability

For a given filtered probability space (Ω,F,P), an F-adapted continuous increasing process Λ and a positive P-F local martingale N such that Λ₀=0 and N_te^−Λ_t≤1, we construct a probability measure Q^Z and a random time τ such that Q|_F∞=P|_F∞ and Q[τ>t|F_t]=Z_t. The probability Q^Z is linked with the well-known Cox model by an explicit density function. Various properties exist, which characterize Q^Z from others. Let G=(G_t)_t≥0 with G_t=F_t∨σ({τ≤s}:s≤t). We establish the (H^′)-property between the filtrations F and G, and we provide the enlargement of filtration formula.