On the exact distributional asymptotics for the supremum of a random walk with increments in a class of light-tailed distributions

We study the distribution of the maximum M of a random walk whose increments have a distribution with negative mean which belongs for some γ > 0 to a subclass of the class S _γ (for example, see Chover, Ney, and Wainger [5]). For this subclass we provide a probabilistic derivation of the asymptotic tail distribution of M and show that the extreme values of M are in general attained through some single large increment in the random walk near the beginning of its trajectory. We also give some results concerning the “spatially local” asymptotics of the distribution of M, the maximum of the stopped random walk for various stopping times, and various bounds.     

不同分布(φ)混合序列的最大值不等式及其应用

利用矩不等式和截尾的方法,讨论了不同分布的φ混合序列的最大值不等式.作为应用,获得了混合序列的一阶矩及p（p〉1）阶矩分别存在有限的充分条件,这是一个与独立同分布情形一致的结果.     

Some penalisations of the Wiener measure

A number of limit laws, which are obtained from various penalisations of the Wiener measure on are shown to exist, and are described thoroughly, with the help of path decompositions.     

Subdifferential set of the supremum of lower semi-continuous convex functions and the conical hull intersection property

In this paper we give some characterizations for the subdifferential set of the supremum of an arbitrary (possibly infinite) family of proper lower semi-continuous convex functions. This is achieved by means of formulae depending exclusively on the (exact) subdifferential sets and the normal cones to the domains of the involved functions. Our approach makes use of the concept of conical hull intersection property (CHIP, for short). It allows us to establish sufficient conditions guarantying explicit representations for this subdifferential set at any point of the effective domain of the supremum function. Research supported by grant SB2003-0344 of SEUI (MEC), Spain.     

关于带权的Hardy-Hilbert不等式中的一个上确界

本文引入了一个形如π/sin-Or（n）/n的权系数，其中Or（n）＞0（r＞1）．建立了带权的Hardy-Hilbert不等式，给出了Or（n）的下确界与上确界．特别当r=2时，证明了λ=1．4603545…是O2（n）的上确界，解决了文[2][6]中所提出的几个问题．     

Orthogonal Partitions in Designed Experiments

A survey is given of the statistical theory of orthogonal partitions on a finite set. Orthogonality, closure under suprema, and one trivial partition give an orthogonal decomposition of the corresponding vector space into subspaces indexed by the partitions. These conditions plus uniformity, closure under infima and the other trivial partition give association schemes. Examples covered by the theory include Latin squares, orthogonal arrays, semilattices of subgroups, and partitions defined by the ancestral subsets of a partially ordered set (the poset block structures).Isomorphism, equivalence and duality are discussed, and the automorphism groups given in some cases. Finally, the ideas are illustrated by some examples of real experiments.Dedicated to Hanfried Lenz on the occasion of his 80th birthday.     

Interpolation theorem for Marcinkiewicz spaces with applications to Lorentz gamma spaces

This paper is devoted to the interpolation principle between spaces of weak type. We characterise interpolation spaces between two Marcinkiewicz spaces in terms of Hardy type operators involving suprema. We study general properties of such operators and their behavior on Lorentz gamma spaces. A particular emphasis is placed on elementary and comprehensive proofs.     

Equivalent formulae for the supremum and stability of weighted pseudoinverses

During recent decades, there have been a great number of research articles studying interior-point methods for solving problems in mathematical programming and constrained optimization. Stewart and O'Leary obtained an upper bound for scaled pseudoinverses of a matrix where is a set of diagonal positive definite matrices. We improved their results to obtain the supremum of scaled pseudoinverses and derived the stability property of scaled pseudoinverses. Forsgren further generalized these results to derive the supremum of weighted pseudoinverses where is a set of diagonally dominant positive semidefinite matrices, by using a signature decomposition of weighting matrices and by applying the Binet-Cauchy formula and Cramer's rule for determinants. The results are also extended to equality constrained linear least squares problems. In this paper we extend Forsgren's results to a general complex matrix to establish several equivalent formulae for , where is a set of diagonally dominant positive semidefinite matrices, or a set of weighting matrices arising from solving equality constrained least squares problems. We also discuss the stability property of these weighted pseudoinverses.

     

利率服从AR( m )离散 时间风险模型的破产分布

研究当保费收入在时间区间的期初和期末给付时的两种广义的离散时间的风险模型,当保险公司的利率具有m阶自回归结构的情况下,将其代入上述模型通过递推和数学归纳法,分别得到了描述破产问题的破产前最大盈余分布,破产前盈余、破产后赤字与破产前最大盈余的联合分布以及首达某一水平x的时间分布的满足的微分方程,最后指出可以结合具体的例子会有比较好的实际价值．