Pub Date : 2024-04-02DOI: 10.1080/15326349.2024.2332324
Yingqiu Li, Lin Deng, Yushao Wei
For Mandelbrot’s cascade (Yn) in an independent and identically distributed (i.i.d.) random environment ξ, we are interested in the a.s. convergence rate of the Mandelbrot’s martingale (Wn) to its ...
{"title":"A.s. convergence rate for Mandelbrot’s cascade in a random environment","authors":"Yingqiu Li, Lin Deng, Yushao Wei","doi":"10.1080/15326349.2024.2332324","DOIUrl":"https://doi.org/10.1080/15326349.2024.2332324","url":null,"abstract":"For Mandelbrot’s cascade (Yn) in an independent and identically distributed (i.i.d.) random environment ξ, we are interested in the a.s. convergence rate of the Mandelbrot’s martingale (Wn) to its ...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":"72 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2024-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140600959","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-04-02DOI: 10.1080/15326349.2024.2325448
Anna Aksamit, Małgorzata M. O’Reilly, Zbigniew Palmowski
Quasi-birth-and-death processes (QBDs) form a class of Markovian models with many applications in which the level-variable X(t) records the number of individuals in some system and a phase-variable...
{"title":"Sensitivities of some performance measures of quasi-birth-and-death processes","authors":"Anna Aksamit, Małgorzata M. O’Reilly, Zbigniew Palmowski","doi":"10.1080/15326349.2024.2325448","DOIUrl":"https://doi.org/10.1080/15326349.2024.2325448","url":null,"abstract":"Quasi-birth-and-death processes (QBDs) form a class of Markovian models with many applications in which the level-variable X(t) records the number of individuals in some system and a phase-variable...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":"54 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2024-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140600962","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-03-25DOI: 10.1080/15326349.2024.2330082
J. Diao, M. M. O’Reilly, B. R. Holland
We consider a model for inferring functional links between genes. We begin with the simple case of two genes whose presence or absence evolves stochastically along a phylogenetic tree. We develop a...
{"title":"Modeling gene content across a phylogeny to determine when genes become associated","authors":"J. Diao, M. M. O’Reilly, B. R. Holland","doi":"10.1080/15326349.2024.2330082","DOIUrl":"https://doi.org/10.1080/15326349.2024.2330082","url":null,"abstract":"We consider a model for inferring functional links between genes. We begin with the simple case of two genes whose presence or absence evolves stochastically along a phylogenetic tree. We develop a...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":"50 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2024-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140298033","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We consider a general class of semi-Markov processes on countable state-space, with a differentiable kernel such that the embedded Markov chain may not be homogeneous. Using an SDE representation o...
{"title":"On meeting and merging of stochastic flow of non-homogeneous Markov and semi-Markov dynamics","authors":"Anindya Goswami, Subhamay Saha, Ravishankar Kapildev Yadav","doi":"10.1080/15326349.2024.2328301","DOIUrl":"https://doi.org/10.1080/15326349.2024.2328301","url":null,"abstract":"We consider a general class of semi-Markov processes on countable state-space, with a differentiable kernel such that the embedded Markov chain may not be homogeneous. Using an SDE representation o...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":"66 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2024-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140199575","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-03-16DOI: 10.1080/15326349.2024.2325449
Jiayi Feng, Aiting Shen, Dantong Wang, Xuejun Wang
In this article, we analyze the strong consistency and r-th (r > 1) mean consistency for the estimators βu, n and gu, n of β and g, respectively, based on m-asymptotic negatively associated errors....
本文基于 m 个渐近负相关误差，分别分析了 β 和 g 的估计值 βu, n 和 gu, n 的强一致性和 r 次（r > 1）均值一致性....。
{"title":"The consistency of the estimators in semiparametric regression model based on m-asymptotic negatively associated errors","authors":"Jiayi Feng, Aiting Shen, Dantong Wang, Xuejun Wang","doi":"10.1080/15326349.2024.2325449","DOIUrl":"https://doi.org/10.1080/15326349.2024.2325449","url":null,"abstract":"In this article, we analyze the strong consistency and r-th (r > 1) mean consistency for the estimators βu, n and gu, n of β and g, respectively, based on m-asymptotic negatively associated errors....","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":"88 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2024-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140153387","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-03-16DOI: 10.1080/15326349.2024.2327435
Marcos Escobar Anel, Wei Li Fan
This article proposes and studies a new type of constant elasticity of volatility (CEV) model, titled LVO-CEV, where the name indicates that the excess return is linear in the volatility. The model...
{"title":"A new type of CEV model: properties, comparison, and application to portfolio optimization","authors":"Marcos Escobar Anel, Wei Li Fan","doi":"10.1080/15326349.2024.2327435","DOIUrl":"https://doi.org/10.1080/15326349.2024.2327435","url":null,"abstract":"This article proposes and studies a new type of constant elasticity of volatility (CEV) model, titled LVO-CEV, where the name indicates that the excess return is linear in the volatility. The model...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":"117 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2024-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140153391","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-03-12DOI: 10.1080/15326349.2024.2319201
Bruno Sericola
We consider the cover time of a discrete-time homogenous Markov chain, which is the time needed by the Markov chain to visit all its states. We analyze both the distribution and the moments of the ...
{"title":"On cover times of Markov chains","authors":"Bruno Sericola","doi":"10.1080/15326349.2024.2319201","DOIUrl":"https://doi.org/10.1080/15326349.2024.2319201","url":null,"abstract":"We consider the cover time of a discrete-time homogenous Markov chain, which is the time needed by the Markov chain to visit all its states. We analyze both the distribution and the moments of the ...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":"192 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2024-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140153494","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-03-12DOI: 10.1080/15326349.2024.2322568
Sallieu Kabay Samura, Xuejun Wang, Yi Wu, Fei Zhang
In this article, we investigate the estimators for the heteroscadastic partially linear regression model under dependent errors defined by yi=xiβ+g(ti)+εi (1≤i≤n), where εi = σiei, σi2=f(ui), the d...
{"title":"Asymptotic normality for the weighted estimators in heteroscedastic partially linear regression model under dependent errors","authors":"Sallieu Kabay Samura, Xuejun Wang, Yi Wu, Fei Zhang","doi":"10.1080/15326349.2024.2322568","DOIUrl":"https://doi.org/10.1080/15326349.2024.2322568","url":null,"abstract":"In this article, we investigate the estimators for the heteroscadastic partially linear regression model under dependent errors defined by yi=xiβ+g(ti)+εi (1≤i≤n), where εi = σiei, σi2=f(ui), the d...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":"71 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2024-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140115098","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-03-08DOI: 10.1080/15326349.2024.2313987
Tommi Gröhn, Joona Karjalainen, Lasse Leskelä
A statistical network model with overlapping communities can be generated as a superposition of mutually independent random graphs of varying size. The model is parameterized by the number of nodes...
{"title":"Clique and cycle frequencies in a sparse random graph model with overlapping communities","authors":"Tommi Gröhn, Joona Karjalainen, Lasse Leskelä","doi":"10.1080/15326349.2024.2313987","DOIUrl":"https://doi.org/10.1080/15326349.2024.2313987","url":null,"abstract":"A statistical network model with overlapping communities can be generated as a superposition of mutually independent random graphs of varying size. The model is parameterized by the number of nodes...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":"12 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2024-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140074100","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In this article, we exploit recent results for the Laplace transform of the sojourn time Ω of an entire batch in the M[X]/M/1 processor sharing queue in order to derive the asymptotic behavior of t...
{"title":"Asymptotic analysis of the sojourn time of a batch in a M[X]/M/1 processor sharing queue","authors":"Fabrice Guillemin, Alain Simonian, Ridha Nasri, Veronica Quintuna Rodriguez","doi":"10.1080/15326349.2024.2317210","DOIUrl":"https://doi.org/10.1080/15326349.2024.2317210","url":null,"abstract":"In this article, we exploit recent results for the Laplace transform of the sojourn time Ω of an entire batch in the M[X]/M/1 processor sharing queue in order to derive the asymptotic behavior of t...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2024-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140046542","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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