有界变差函数的加权Ostrowski型不等式的改进及其应用(英文)

本文改进了有界变差函数的加权Ostrowski型不等式,并给出了其在求积公式中的应用.     

A variational formula for controlled backward stochastic partial differential equations and some application

An optimal control problem for a controlled backward stochastic partial differential equation in the abstract evolution form with a Bolza type performance functional is considered. The control domain is not assumed to be convex, and all coefficients of the system are allowed to be random. A variational formula for the functional in a given control process direction is derived, by the Hamiltonian and associated adjoint system. As an application, a global stochastic maximum principle of Pontraygins type for the optimal controls is established.     

Multivariate risk models under heavy‐tailed risks

In this paper, we consider four common types of ruin probabilities for a discrete‐time multivariate risk model, where the insurer is assumed to be exposed to a vector of net losses resulting from a number of business lines over each period. By assuming a large initial capital for the risk model and regularly varying distributions for the net losses, we establish some interesting asymptotic estimates for ruin probabilities in terms of the upper tail dependence function of the net loss vector. Our results insightfully characterize how the dependence structure among the individual net losses affect the ruin probabilities in an asymptotic sense, and more importantly, from our main results, explicit asymptotic estimates for those ruin probabilities can be obtained via specifying a copula for the net loss vectors. Copyright © 2013 John Wiley & Sons, Ltd.     

Improved lower bounds on the total variation distance for the Poisson approximation

New lower bounds on the total variation distance between the distribution of a sum of independent Bernoulli random variables and the Poisson random variable (with the same mean) are derived via the Chen–Stein method. The new bounds rely on a non-trivial modification of the analysis by Barbour and Hall (1984) which surprisingly gives a significant improvement. A use of the new lower bounds is addressed.     

On Anastassiou's Generalizations of the Ostrowski Inequality and Related Results

We provide a generalization of a recent result of Anastassiou related to thewell-known Ostrowski inequality, as well as some related results. Ourresults subsume, extend, and consolidate a number of known results.     

A total variation based approach to correcting surface coil magnetic resonance images

Magnetic resonance images which are corrupted by noise and by smooth modulations are corrected using a variational formulation incorporating a total variation like penalty for the image and a high order penalty for the modulation. The optimality system is derived and numerically discretized. The cost functional used is non-convex, but it possesses a bilinear structure which allows the ambiguity among solutions to be resolved technically by regularization and practically by normalizing the maximum value of the modulation. Since the cost is convex in each single argument, convex analysis is used to formulate the optimality condition for the image in terms of a primal-dual system. To solve the optimality system, a nonlinear Gauss-Seidel outer iteration is used in which the cost is minimized with respect to one variable after the other using an inner generalized Newton iteration. Favorable computational results are shown for artificial phantoms as well as for realistic magnetic resonance images. Reported computational times demonstrate the feasibility of the approach in practice.     

A Dynamic Programming Algorithm for the Fused Lasso and L 0-Segmentation

We propose a dynamic programming algorithm for the one-dimensional Fused Lasso Signal Approximator (FLSA). The proposed algorithm has a linear running time in the worst case. A similar approach is developed for the task of least squares segmentation, and simulations indicate substantial performance improvement over existing algorithms. Examples of R and C implementations are provided in the online Supplementary materials, posted on the journal web site.