Exponential Bounds for Ruin Probability in Two Moving Average Risk Models with Constant Interest Rate

The authors consider two discrete-time insurance risk models. Two moving average risk models are introduced to model the surplus process, and the probabilities of ruin are examined in models with a constant interest force. Exponential bounds for ruin probabilities of an infinite time horizon are derived by the martingale method.     

Large Deviation Principles for Moving Average Processes of Real Stationary Sequences

Let X _k =∑ _i=−∞^∞ a _i ξ _k−i ,k≥1, be the moving average processes, where (ξ _i ) _i∈ℤ is a sequence of real stationary random variables. Under the assumptions that the large deviation principle (LDP) for real stationary sequence holds, LDP for the moving average processes of real stationary sequence is established.      

自相关对常规控制图影响的模拟研究与案例分析

常规统计控制图的基本假设前提是观测值独立同分布,而在实际生产过程中,质量指标值常表现出自相关现象,违背独立性假定。本文运用平均链长(ARL)研究自相关过程为AR(1)时对常规控制图的影响,并比较了常规控制图和残差控制图对序列相关过程的控制效果。模拟结果和实例分析表明:当过程序列相关时,使用常规作图法估计出的标准差是有偏的,致使控制限设置错误和常规控制图检测能力降低。因此,在一些统计过程控制中,须考虑自相关现象并采用适当的控制图方法。     

超越平均原子模型模拟高温高密等离子体离子布居

从实际应用的角度出发，常采用平均原子(AA)模型进行简化处理.为了能更精确计算高温高密等离子体的离子布居，提出了一套超越AA模型的方法.该方法能够较好地处理局域热动平衡(LTE)等离子体离子布居，也可有效地处理非局域热动平衡(n-LTE)等离子体离子布居. 关键词： 平均原子(AA)模型 离子布居 非局域热动平衡(n-LTE)     

Convergence rates for probabilities of moderate deviations for moving average processes

The present paper first shows that, without any dependent structure assumptions for a sequence of random variables, the refined results of the complete convergence for the sequence is equivalent to the corresponding complete moment convergence of the sequence. Then this paper investigates the convergence rates and refined convergence rates （or complete moment convergence） for probabilities of moderate deviations of moving average processes. The results in this paper extend and generalize some well-known results.     

On complexity of multistage stochastic programs

In this paper we derive estimates of the sample sizes required to solve a multistage stochastic programming problem with a given accuracy by the (conditional sampling) sample average approximation method. The presented analysis is self-contained and is based on a relatively elementary, one-dimensional, Cramér's Large Deviations Theorem.     

A Formula of Average Path Length for Unweighted Networks

In this paper, based on the adjacency matrix of the network and its powers, the formulas are derived for the shortest path and the average path length, and an effective algorithm is presented. Furthermore, an example is provided to demonstrate the proposed method.     

关于累积和(CUSUM)检验的改进

对连续检验问题，常用的检测方法有三大类其一是众所周知的Shewhartt控制图，它是最常用的对生产过程进行连续监控的控制方法，不过，如果过程均值有小的漂移(即μ-μo小)时，Shewhart控制图的检验效果不是很好，除了Shewhart控制图外，另有二类常用的控制图法，其一是累积和控制图(CUSUM)，由Page^[1]基于似然比导出，其二是指数加权移动平均控制图(EWMA)，由Roberts^[2]给出，它们已被证明在检测小的漂移时效果不错。许多人对CUSUM与EWMA进行了比较，总的来说。最好的CUSUM与最好的EWMA在检测小的漂移方面难分优劣，但CUSUM是由似然比导出的，且其平均运行长度的计算相对来说要简便些，因此，CUSUM在与EWMA的比较中更具优势，应用更广．我们分析了CUSUM的导出过程和公式。指出CUSUM有二个可以进一步改进的方面在此基础上，我们给出了二个新的累积和检验统计量及其判断难则，它们分别是PCUSUM检验统计量Pn和DCUSUM检验统计量Sn．在连续检验问题中判断一个检验方法好坏的最重要的标难是其平均运行长度比较标难是在要求具有相同的受控状态下平均运行长度ARL0的条件下，比较其失控状态下的平均运行长度ARL1，ARL1越小越好我们对PCUSUM检验和DCUSUM检验都建立了其平均运行长度ARL的计算公式．通过对CUSUM，PCUSUM，DCUSUM的平均运行长度的比较我们发现我们提出的新的累积和控制方法确比原来的CUSUM有较大改进。     

Role of Pressure in Turbulence

There is very limited knowledge of the kinematical relations for the velocity structure functions higher than three. Instead, the dynamical equations for the structure functions of the velocity increment are obtained from the Navier–Stokes equation under the assumption of the local homogeneity and isotropy. These equations contain the correlation between the velocity and pressure gradient increments, which is very difficult to know theoretically and experimentally. We have examined these dynamical relations by using direct numerical simulation data at very high resolution at large Reynolds numbers, and found that the contribution of the pressure term is important to the dynamics of the longitudinal velocity with large amplitudes. The pressure term is examined from the view point of the conditional average and the role of the pressure term in the turbulence dynamics is discussed.