On the worst conditional expectation

We study continuous coherent risk measures on L^p, in particular, the worst conditional expectations. We show some representation theorems for them, extending the results of Artzner, Delbaen, Eber, Heath, and Kusuoka.     

条件Erlang分布的双参数加法定理

X(γ)和Y(k)服从参数(γ,λ)和(k,μ)的Erlang分布且相互独立.本文证明了在X(γ)相似文献   

Banach代数L∞(T;X)

讨论向量值函数的Banach代数L∞（T；X）的极大理想空间的拓扑性质和代数性质，得到了若干结果；给出了Banach空间H∞（D；X）中闭单位球的端点的一条性质．     

一个矩阵不等式和Bayes无偏估计（英）

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Conditional Probabilities and Density Operators in Quantum Modeling

Motivated by a recent proof of free choices in linking equations to the experiments they describe, I clarify some relations among purely mathematical entities featured in quantum mechanics (probabilities, density operators, partial traces, and operator-valued measures), thereby allowing applications of these entities to the modeling of a wider variety of physical situations. I relate conditional probabilities associated with projection-valued measures to conditional density operators identical, in some cases but not in others, to the usual reduced density operators. While a fatal obstacle precludes associating conditional density operators with general non-projective measures, tensor products of general positive operator-valued measures (POVMs) are associated with conditional density operators. This association together with the free choice of probe particles allows a postulate of state reductions to be replaced by a theorem. An application shows an equivalence between one form of quantum key distribution and another with respect to certain eavesdropping attacks.     

Local Realism and Conditional Probability

Emilio Santos has argued (Santos, Studies in History and Philosophy of Physics http: //arxiv-org/abs/quant-ph/0410193) that to date, no experiment has provided a loophole-free refutation of Bell’s inequalities. He believes that this provides strong evidence for the principle of local realism, and argues that we should reject this principle only if we have extremely strong evidence. However, recent work by Malley and Fine (Non-commuting observables and local realism, http: //arxiv-org/abs/quant-ph/0505016) appears to suggest that experiments refuting Bell’s inequalities could at most confirm that quantum mechanical quantities do not commute. They also suggest that experiments performed on a single system could refute local realism. In this paper, we develop a connection between the work of Malley and Fine and an argument by Bub from some years ago [Bub, The Interpretation of Quantum Mechanics, Chapter VI(Reidel, Dodrecht,1974)]. We also argue that the appearance of conflict between Santos on the one hand and Malley and Fine on the other is a result of differences in the way they understand local realism.     

一类随机保费率下的风险模型

引入随机变量保费率,对古典风险模型进行推广,主要研究随机保费率下的风险模型,用随机过程和鞅论的方法得出破产概率、末离前最大盈余分布、破产前瞬时盈余与破产赤字的联合分布等精算量分布的具体表达式.     

Simulating Multivariate Extreme Value Distributions of Logistic Type

Methods are given for simulating from symmetric and asymmetric versions of the multivariate logistic distribution, and from other multivariate extreme value distributions based on the well known logistic model. We consider two general approaches. The first approach uses transformations to derive random variables with a joint distribution function from which it is easy to simulate. The second approach derives from a specification of conditionally independent marginal components, conditioning on positive stable random variables. This specification extends to models of nested or hierarchical type and leads to an efficient way of incorporating marginal censoring. The algorithms presented in Sections 2 and 3 are available on request from the author. They are also included in the R (Ihaka and Gentleman, 1996) package evd (Stephenson, 2002), which is available from http://www.maths.lancs.ac.uk/~stephena/.     

Disintegration of Gaussian measures and average-case optimal algorithms

It is shown that a Gaussian measure in a given infinite-dimensional Banach space always admits an essentially unique Gaussian disintegration with respect to a given continuous linear operator. This covers a similar statement made earlier in [Lee and Wasilkowski, Approximation of linear functionals on a Banach space with a Gaussian measure, J. Complexity 2(1) (1986) 12–43.] for the case of finite-rank operators.     

Poisson convergence in the restricted k‐partitioning problem

The randomized k‐number partitioning problem is the task to distribute N i.i.d. random variables into k groups in such a way that the sums of the variables in each group are as similar as possible. The restricted k‐partitioning problem refers to the case where the number of elements in each group is fixed to N/k. In the case k = 2 it has been shown that the properly rescaled differences of the two sums in the close to optimal partitions converge to a Poisson point process, as if they were independent random variables. We generalize this result to the case k > 2 in the restricted problem and show that the vector of differences between the k sums converges to a k ‐ 1‐dimensional Poisson point process. © 2006 Wiley Periodicals, Inc. Random Struct. Alg., 2007