Dimensional variance inequalities of Brascamp–Lieb type and a local approach to dimensional Prékopaʼs theorem

We give a new approach, inspired by Hörmander?s L²$L^2$-method, to weighted variance inequalities which extend results obtained by Bobkov and Ledoux. It provides in particular a local proof of the dimensional functional forms of the Brunn–Minkowski inequalities. We also present several applications of these variance inequalities, including reverse Hölder inequalities for convex functions, weighted Brascamp–Lieb inequalities and sharp weighted Poincaré inequalities for generalized Cauchy measures.     

Maximum Lebesgue extension of monotone convex functions

Given a monotone convex function on the space of essentially bounded random variables with the Lebesgue property (order continuity), we consider its extension preserving the Lebesgue property to as big solid vector space of random variables as possible. We show that there exists a maximum such extension, with explicit construction, where the maximum domain of extension is obtained as a (possibly proper) subspace of a natural Orlicz-type space, characterized by a certain uniform integrability property. As an application, we provide a characterization of the Lebesgue property of monotone convex function on arbitrary solid spaces of random variables in terms of uniform integrability and a “nice” dual representation of the function.     

A generalized Girsanov transformation of finite state stochastic processes in discrete time

Cohen and Elliott (2010) introduced the backward stochastic difference equations (BSDEs) on spaces related to discrete time, finite state processes. Motivated by obtaining the explicit solution of a linear BSDE under their framework, we develop a new type of Girsanov transformation in this paper.     

Solvency II,regulatory capital,and optimal reinsurance: How good are Conditional Value-at-Risk and spectral risk measures?

We study the problem of optimal reinsurance as a means of risk management in the regulatory framework of Solvency II under Conditional Value-at-Risk and, as its natural extension, spectral risk measures. First, we show that stop-loss reinsurance is optimal under both Conditional Value-at-Risk and spectral risk measures. Spectral risk measures thus constitute a more general class of suitable regulatory risk measures than specific Conditional Value-at-Risk. At the same time, the established type of stop-loss reinsurance can be maintained as the optimal risk management strategy that minimizes regulatory capital. Second, we derive the optimal deductibles for stop-loss reinsurance. We show that under Conditional Value-at-Risk, the optimal deductible tends towards restrictive and counter-intuitive corner solutions or “plunging”, which is a serious objection against its use in regulatory risk management. By means of the broader class of spectral risk measures, we are able to overcome this shortcoming as optimal deductibles are now interior solutions. Especially, the recently discussed power spectral risk measures and the Wang risk measure are shown to avoid any plunging. They yield a one-to-one correspondence between the risk parameter and the optimal deductible and, thus, provide economically plausible risk management strategies.     

带止步与中途退出策略的M~x/M/1/N单重工作休假排队系统

研究了带有止步和中途退出的M~x/M/1/N单重工作休假排队系统.顾客成批到达,到达后每批中的顾客,或者以概率b决定进入队列等待服务,或者以概率1-b止步(不进入系统).顾客进入系统后可能因为等待的不耐烦而在没有接受服务的情况下离开系统(中途退出).系统中一旦没有顾客,服务员立即进入单重工作休假.首先,利用马尔科夫过程理论建立了系统稳态概率满足的方程组.其次利用矩阵解法求出了稳态概率的矩阵解并得到了系统的平均队长、平均等待队长以及顾客的平均消失概率等性能指标.最后通过数值例子分析了工作休假时的低服务率η和休假率θ这两个参数对系统平均队长的影响.     

有限uM,D-正交指数函数系的一个充分条件

设$\mu_{M,D}$是由仿射迭代函数系$\{\phi_{d}(x)=M^{-1}(x+d)\}_{d\in D}$唯一确定的自仿测度, 它的谱与非谱性质与Hilbert空间$L^{2}(\mu_{M,D})$中正交指数函数系的有限性和无限性有着直接的关系. 本文将利用矩阵的初等变换给出$\mu_{M,D}$\,{-}\!\!正交指数函数系有限性的一个充分条件. 由于这个条件只与 矩阵$M$的行列式有关, 因此, 它在$\mu_{M,D}$的非谱性的判断方面便于直接验证.     

Metabonomic study on women of reproductive age treated with nutritional intervention: screening potential biomarkers related to neural tube defects occurrence

Nutritional intervention is effective in reducing the risk of neural tube defects (NTDs). To determine the effects of nutritional supplementation on human metabolism, a metabonomic study was carried out on 96 women of reproductive age. Subjects with nutritional intervention were given fortified wheat flour (containing folic acid, vitamin B₁, vitamin B₂, ferric sodium edetate and zinc oxide) for 8 months. Serum metabolic fingerprinting was detected via ultraperformance liquid chromatography in tandem with time‐of‐flight mass spectrometry (UPLC‐TOF MS), and data acquired was processed by multivariate statistical analysis. The result revealed a significant difference between the control and intervention group. Twenty potential biomarkers, including fructose 6‐phosphate, sphingosine 1‐phosphate, docosahexaenoic acid and hexadecanoic acid, were located and identified by the accurate mass measurement of TOF MS. These compounds are believed to be functionally related to anti‐oxidative competence in vivo. In conclusion, metabonomics study is a valuable approach in exploring the effect mechanism of nutritional intervention on NTD prevention. Copyright © 2010 John Wiley & Sons, Ltd.     

Statistical stationary states for a two-layer quasi-geostrophic system

Existence of a family of locally invariant probability measures for large scale flows in enclosed temperate sea is proved. This model is extremely important for understanding the meso-scale phenomena in oceans. The techniques used are those developed by Albeverio and his collaborators.