鞅方法在一类破产问题中的应用

本文从鞅条件出发 ,推导出了总理赔过程分别为复合 Poisson过程与复合二项过程 ,利率强度波动为带跳的 Poisson过程情形下的调节方程 ,并由此得到了一些有趣的结果。     

A simple formula for mean multiplexing delay for independent regenerative sources

Simple expressions are given for the mean delay, mean waiting time, and mean busy period length in a multiplexer. Data streams with active periods having a general distribution are permitted, and the data rate during the active periods can be random. Data can also arrive in batches. The key restrictions of the model are that the sources are independent, idle periods are exponentially distributed, and a source generates at least enough data during an active period to keep the server busy throughout the period. The exact formulas allow evaluation of the error in approximations such as a heavy traffic diffusion approximation.Both continuous and discrete time models are considered. The discrete-time model includes that studied by Viterbi and subsequently generalized by Neuts. The Pollaczek-Khinchine formula for the mean amount of work in anM/GI/1 queue is retrieved as a limiting case.Preliminary version presented at IEEE INFOCOM, San Francisco, April 1993.     

带干扰的Erlang(2)风险模型的不破产概率

本文讨论了带干扰的Erlang(2)风险模型,通过构造一个延迟更新过程,我们得到了不破产概率满足的积分-微分方程,进而得到了不破产概率的明确表达式．     

Photovoltaic and spectral properties of tetraphenyloporphyrin and metallotetraphenyloporphyrin dyes

Spectroscopical properties and photocurrent (or photovoltage) of tetraphenyloporphyrins and metallotetraphenyloporphyrins in nematic liquid crystal have been studied. Photoelectric response has been measured in an electrochemical cell made of the semitransparent semiconducting and golden electrodes with porphyrin dyes embedded in liquid crystal. Fluorescence, time-resolved luminescence in microsecond time scale and photoacoustic spectra have also been measured. The competition between radiative, non-radiative processes and charge transfer is discussed. It has been shown that effectivity of porphyrins for photocurrent generation depends on the presence/absence of central metal in the macrocycle of porphyrin skeleton and the kind of metal. The schematic model of the contributions of the dye molecule and semiconducting electrode in the electron transfer process is shown.     

Range-Renewal Processes: SLLNs and Power Laws*

Given n samples(viewed as an n-tuple) of a γ-regular discrete distribution π,in this article the authors concern with the weighted and unweighted graphs induced by the n samples. They first prove a series of SLLN results(of Dvoretzky-Erd¨os’ type). Then they show that the vertex weights of the graphs under investigation obey asymptotically power law distributions with exponent 1 + γ. They also give a conjecture that the degrees of unweighted graphs would exhibit asymptotically power law distribu...     

A bi-virus competing model with time-varying susceptibility and repeated infection

This paper introduces a bi-virus model with time-varying susceptibility. The model describes the case that there coexist two viruses and the time-varying susceptibility due to repeated infections. For different parameters, we investigate the stability of various equilibriums. Under appropriate conditions the two viruses show competitive relationship, that is, one virus will eventually become a pandemic, and the other virus will eventually disappear. For this case, we further study the dynamical behavior of virus transmission. The model shows some new phenomena, that is, the outbreak of the virus will be delayed appropriately, giving people an illusion. Finally, we present a numerical example to illustrate the effectiveness of the theoretical results.     

On the three-phase mass transfer with solid particles adhered to the gas-liquid interface

A heterogeneous, multi-layer mass transfer model is proposed for prediction of the effect of multi-layer packing of catalyst particles adhered to the gas-liquid interface. The behavior of the mass transfer rate with respect to the multi-layer packing, to the particle size and mass transfer coefficient without particles is discussed. It is shown that enhancement can be considerably increased by multi-layer packing compared to that of mono-layer packing, depending on the values of particle size and mass transfer coefficient. The predicted mass transfer rates using the proposed model was verified with experimental data taken from the literature. The model presented should be superior to that of published in the literature.     

Bounded invariant verification for time-delayed nonlinear networked dynamical systems

We present a technique for bounded invariant verification of nonlinear networked dynamical systems with delayed interconnections. The underlying problem in precise bounded-time verification lies with computing bounds on the sensitivity of trajectories (or solutions) to changes in initial states and inputs of the system. For large networks, computing this sensitivity with precision guarantees is challenging. We introduce the notion of input-to-state (IS) discrepancy of each module or subsystem in a larger nonlinear networked dynamical system. The IS discrepancy bounds the distance between two solutions or trajectories of a module in terms of their initial states and their inputs. Given the IS discrepancy functions of the modules, we show that it is possible to effectively construct a reduced (low dimensional) time-delayed dynamical system, such that the trajectory of this reduced model precisely bounds the distance between the trajectories of the complete network with changed initial states. Using the above results we develop a sound and relatively complete algorithm for bounded invariant verification of networked dynamical systems consisting of nonlinear modules interacting through possibly delayed signals. Finally, we introduce a local version of IS discrepancy and show that it is possible to compute them using only the Lipschitz constant and the Jacobian of the dynamic function of the modules.     

Asymptotic estimates of Gerber-Shiu functions in the renewal risk model with exponential claims

This paper continues to study the asymptotic behavior of Gerber-Shiu expected discounted penalty functions in the renewal risk model as the initial capital becomes large. Under the assumption that the claim-size distribution is exponential, we establish an explicit asymptotic formula. Some straightforward consequences of this formula match existing results in the field.     

On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times

The structural properties of the moments of the time to ruin are studied in dependent Sparre Andersen models. The moments of the time to ruin may be viewed as generalized versions of the Gerber–Shiu function. It is shown that structural properties of the Gerber–Shiu function hold also for the moments of the time to ruin. In particular, the moments continue to satisfy defective renewal equations. These properties are discussed in detail in the model of Willmot and Woo (2012), which has Coxian interclaim times and arbitrary time-dependent claim sizes. Structural quantities needed to determine the moments of the time to ruin are specified under this model. Numerical examples illustrating the methodology are presented.