Mann-Whitney test for associated sequences

Let {X ₁, ...,X _m } and {Y ₁, ...,Y _n } be two samples independent of each other, but the random variables within each sample are stationary associated with one dimensional marginal distribution functionsF andG, respectively. We study the properties of the classical Wilcoxon-Mann-Whitney statistic for testing for stochastic dominance in the above set up.     

Stochastic analysis in life office management: applications to large annuity portfolios

The paper deals with the riskiness analysis for a large portfolio of life annuities. By means of the limiting distribution of the present value of the portfolio, in the first part of the paper a model for evaluating the investment and the projection risks is presented. In the second part, with regard to the investment risk's effects, the insolvency risk is measured considering the cumulative probability distribution function of the discounted average cost per policy. Copyright © 2003 John Wiley & Sons, Ltd.     

Sparse pseudo‐random graphs are Hamiltonian

In this article we study Hamilton cycles in sparse pseudo‐random graphs. We prove that if the second largest absolute value λ of an eigenvalue of a d‐regular graph G on n vertices satisfies and n is large enough, then G is Hamiltonian. We also show how our main result can be used to prove that for every c >0 and large enough n a Cayley graph X (G,S), formed by choosing a set S of c log⁵ n random generators in a group G of order n, is almost surely Hamiltonian. © 2002 Wiley Periodicals, Inc. J Graph Theory 42: 17–33, 2003     

On Universal Representation of Random Graphs

It is shown that every probability measure on the interval [0, 1] gives rise to a unique infinite random graph g on vertices {v₁, v₂, . . .} and a sequence of random graphs gn on vertices {v₁, . . . , v_n} such that . In particular, for Bernoulli graphs with stable property Q, can be strengthened to: probability space (, F, P), set of infinite graphs G(Q) , F with property Q such that .AMS Subject Classification: 05C80, 05C62.     

Nonlinear Filtering for Diffusions in Random Environments

Suppose that the signal X to be estimated is a diffusion process in a random medium W and the signal is correlated with the observation noise. We study the historical filtering problem concerned with estimating the signal path up until the current time based upon the back observations. Using Dirichlet form theory, we introduce a filtering model for general rough signal X ^W and establish a multiple Wiener integrals representation for the unnormalized pathspace filtering process. Then, we construct a precise nonlinear filtering model for the process X itself and give the corresponding Wiener chaos decomposition.     

ASYMPTOTIC NORMALITY OF KERNEL ESTIMATES OF A DENSITY FUNCTION UNDER ASSOCIATION DEPENDENCE

Let {X_n, n≥1} be a strictly stationary sequence of random variables, whichare either associated or negatively associated, f(·) be their common density. In this paper,the author shows a central limit theorem for a kernel estimate of f(·) under certain regularconditions.     

Complete convergence for arrays

Let {(X _nk , 1≤k≤n),n≥1}, be an array of rowwise independent random variables. We extend and generalize some recent results due to Hu, Móricz and Taylor concerning complete convergence, in the sense of Hsu and Robbins, of the sequence of rowwise arithmetic means.     

Chip-Firing Games on Directed Graphs

We consider the following (solitary) game: each node of a directed graph contains a pile of chips. A move consists of selecting a node with at least as many chips as its outdegree, and sending one chip along each outgoing edge to its neighbors. We extend to directed graphs several results on the undirected version obtained earlier by the authors, P. Shor, and G. Tardos, and we discuss some new topics such as periodicity, reachability, and probabilistic aspects.Among the new results specifically concerning digraphs, we relate the length of the shortest period of an infinite game to the length of the longest terminating game, and also to the access time of random walks on the same graph. These questions involve a study of the Laplace operator for directed graphs. We show that for many graphs, in particular for undirected graphs, the problem whether a given position of the chips can be reached from the initial position is polynomial time solvable.Finally, we show how the basic properties of the probabilistic abacus can be derived from our results.     

动态模糊随机信息处理的数学方法

本文系统地概述了我们近年来提出的动态模糊随机信息处理的数学方法,内容包括模糊随机变量、模糊随机过程和模糊随机微分方程的基本解法等方面的基本概念、基本定义和某些重要的定理,以及动态系统的模糊随机响应与可靠性分析的方法等。这些方法是为我们研究工程实际问题的需要逐步发展起来的,对于处理某些类型的问题简便实用。     

Random walk on a disordered directed Bethe lattice

The random walk of a particle on a directed Bethe lattice of constant coordinanceZ is examined in the case of random hopping rates. As a result, the higher the coordinance, the narrower the regions of anomalous drift and diffusion. The annealed and quenched mean square dispersions are calculated in all dynamical phases. In opposition to the one-dimensional (Z=2) case, the annealed and quenched mean quadratic dispersions are shown to be identical in all phases.We shall employ indifferently the expressions Bethe lattice or infinite Cayley tree to denote an infinite ramified lattice of constant coordinanceZ.^{(4, 5)}