Stochastic Models最新文献

英文中文

Complete f -moment convergence for a class of random variables with related statistical applications 一类随机变量的完全f矩收敛及其相关的统计应用

4区数学 Q4 STATISTICS & PROBABILITY

Stochastic Models

Pub Date : 2023-10-11 DOI: 10.1080/15326349.2023.2253278

Liangxue Li, Xuejun Wang, Chen Yi

Abstract.In this article, we establish the complete f-moment convergence for a class of random variables satisfying a Rosenthal-type maximal inequality and a weak mean dominating condition with a mean dominating variable. As corollaries, the complete moment convergence and complete convergence for a class of random variables are also obtained. In addition, an application of main results to nonparametric regression models is provided. Finally, we provide a numerical simulation to verify the validity of our theoretical results based on finite samples.Keywords: Complete consistencycomplete f-moment convergencenonparametric regression modelsRosenthal-type maximal inequalityMSC:: 60F1562G20 AcknowledgmentsThe authors are most grateful to the Editor and anonymous referee for carefully reading the manuscript and valuable suggestions which helped in improving an earlier version of this paper.Disclosure statementNo potential conflict of interest was reported by the authors.Additional informationFunding Supported by the National Social Science Foundation of China (22BTJ059).

摘要在本文中，我们建立了一类随机变量满足rosenthal型极大不等式和具有平均支配变量的弱平均支配条件的完全f矩收敛性。作为推论，也得到了一类随机变量的完全矩收敛性和完全收敛性。此外，给出了主要结果在非参数回归模型中的应用。最后，通过有限样本的数值模拟验证了理论结果的有效性。关键词:完全一致性完全f矩收敛非参数回归模型rosenthal型极大不等式感谢编辑和匿名审稿人仔细阅读稿件并提出宝贵意见，帮助改进本文的早期版本。披露声明作者未报告潜在的利益冲突。附加信息国家社会科学基金项目(22BTJ059)资助。

引用次数: 0

The longest edge of the one-dimensional soft random geometric graph with boundaries 具有边界的一维软随机几何图的最长边

4区数学 Q4 STATISTICS & PROBABILITY

Stochastic Models

Pub Date : 2023-09-22 DOI: 10.1080/15326349.2023.2256825

Arnaud Rousselle, Ercan Sönmez

AbstractThe object of study is a soft random geometric graph with vertices given by a Poisson point process on a line and edges between vertices present with probability that has a polynomial decay in the distance between them. Various aspects of such models related to connectivity structures have been studied extensively. In this article, we study the random graph from the perspective of extreme value theory and focus on the occurrence of single long edges. The model we investigate has non-periodic boundary and is parameterized by a positive constant α, which is the power for the polynomial decay of the probabilities determining the presence of an edge. As a main result, we provide a precise description of the magnitude of the longest edge in terms of asymptotic behavior in distribution. Thereby we illustrate a crucial dependence on the power α and we recover a phase transition which coincides with exactly the same phases in Benjamini and Berger[ Citation2].Keywords: Extreme value theorymaximum edge-lengthPoisson approximationrandom graphssoft random geometric graphMSC: Primary: 05C8060G70Secondary: 60F0505C8282B21 Disclosure statementNo potential conflict of interest was reported by the authors.Additional informationFundingThe IMB receives support from the EIPHI Graduate School (contract ANR-17-EURE-0002).

摘要本文研究的对象是一个软随机几何图，其顶点由泊松点过程在一条线上给出，顶点之间的边以距离的多项式衰减概率存在。这些模型与连接结构相关的各个方面已经得到了广泛的研究。本文从极值理论的角度对随机图进行了研究，重点研究了单长边的出现。我们研究的模型具有非周期边界，并由一个正常数α参数化，这是确定边缘存在的概率的多项式衰减的幂。作为一个主要的结果，我们提供了在分布的渐近行为的最长边的大小的精确描述。因此，我们说明了对功率α的关键依赖，并且我们恢复了与Benjamini和Berger完全相同的相一致的相变[Citation2]。关键词:极值理论最大边长泊松近似随机图形软随机几何图形msc:一级:058060g70二级:60F0505C8282B21披露声明作者未报告潜在利益冲突。IMB得到EIPHI研究生院的支持(合同anr -17- eur -0002)。

{"title":"The longest edge of the one-dimensional soft random geometric graph with boundaries","authors":"Arnaud Rousselle, Ercan Sönmez","doi":"10.1080/15326349.2023.2256825","DOIUrl":"https://doi.org/10.1080/15326349.2023.2256825","url":null,"abstract":"AbstractThe object of study is a soft random geometric graph with vertices given by a Poisson point process on a line and edges between vertices present with probability that has a polynomial decay in the distance between them. Various aspects of such models related to connectivity structures have been studied extensively. In this article, we study the random graph from the perspective of extreme value theory and focus on the occurrence of single long edges. The model we investigate has non-periodic boundary and is parameterized by a positive constant α, which is the power for the polynomial decay of the probabilities determining the presence of an edge. As a main result, we provide a precise description of the magnitude of the longest edge in terms of asymptotic behavior in distribution. Thereby we illustrate a crucial dependence on the power α and we recover a phase transition which coincides with exactly the same phases in Benjamini and Berger[ Citation2].Keywords: Extreme value theorymaximum edge-lengthPoisson approximationrandom graphssoft random geometric graphMSC: Primary: 05C8060G70Secondary: 60F0505C8282B21 Disclosure statementNo potential conflict of interest was reported by the authors.Additional informationFundingThe IMB receives support from the EIPHI Graduate School (contract ANR-17-EURE-0002).","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":"87 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136059022","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}

引用次数: 1

Moderate deviations for stochastic Cahn-Hilliard equations with a random dynamical boundary driven by Poisson random measures Poisson随机测度驱动随机动力边界的随机Cahn-Hilliard方程的中偏差

IF 0.7 4区数学 Q4 STATISTICS & PROBABILITY

Stochastic Models

Pub Date : 2023-09-08 DOI: 10.1080/15326349.2023.2250432

Ying Wang, Guanggan Chen, Pingping Wang

引用次数: 0

Moments based matrix representation of Markov and rational arrival processes with reduced rank marginal 具有降秩边际的马尔可夫和有理到达过程的矩矩阵表示

IF 0.7 4区数学 Q4 STATISTICS & PROBABILITY

Stochastic Models

Pub Date : 2023-09-08 DOI: 10.1080/15326349.2023.2253289

A. Mészáros, M. Telek

The moments based matrix representation of Markovian and rational arrival processes (MAP/RAPs) with full rank marginal (FRM) is provided in [14]. MAP/RAPs with reduced rank marginal (RRM) diﬀer in essential properties from the ones with FRM [13]. The main diﬃculty of the moments based matrix representation of MAP/RAPs with RRM comes from the fact that the moments needed to characterize a MAP/RAPs with RRM depends on the internal structure of the MAP/RAP. In this work, we propose a general procedure for moments based matrix representation that is applicable to MAP/RAPs with both FRM and RRM, independent of their internal structures. We also show that the procedure terminates in a ﬁnite number of steps which is proportional to the order of the MAP/RAP.

引用次数: 0

Mean-field fluctuations at diffusion scale in threshold-based randomized routing for processor sharing systems and applications 处理器共享系统及应用中基于阈值随机路由的扩散尺度平均场波动

IF 0.7 4区数学 Q4 STATISTICS & PROBABILITY

Stochastic Models

Pub Date : 2023-09-04 DOI: 10.1080/15326349.2023.2250418

Samira Ghanbarian, Ravi R. Mazumdar

引用次数: 0

Quenched weighted moments for a branching process with immigration in a random environment 随机环境下移民分支过程的淬灭加权矩

IF 0.7 4区数学 Q4 STATISTICS & PROBABILITY

Stochastic Models

Pub Date : 2023-08-10 DOI: 10.1080/15326349.2023.2241071

Xulan Huang

引用次数: 0

A stochastic log-logistic diffusion process: Statistical computational aspects and application to real data 随机对数逻辑扩散过程：统计计算方面及其在实际数据中的应用

IF 0.7 4区数学 Q4 STATISTICS & PROBABILITY

Stochastic Models

Pub Date : 2023-08-09 DOI: 10.1080/15326349.2023.2241070

Abdenbi El Azri, Nafidi Ahmed

引用次数: 0

Gambler’s ruin with random stopping 赌徒的毁灭与随机停止

IF 0.7 4区数学 Q4 STATISTICS & PROBABILITY

Stochastic Models

Pub Date : 2023-08-03 DOI: 10.1080/15326349.2023.2241066

G. J. Morrow

. Let { X j , j ≥ 0 } denote a Markov process on [ − N − 1 , N +1] ∪{ c } . Suppose P ( X j +1 = m +1 | X j = m ) = ph , P ( X j +1 = m − 1 | X j = m ) = (1 − p ) h , all j ≥ 1 and | m | ≤ N , where p = 12 + bN and h = 1 − c N for c N = 12 a 2 /N 2 . Deﬁne P ( X j +1 = c | X j = m ) = c N , j ≥ 0, | m | ≤ N . { X j } terminates at the ﬁrst j such that X j ∈ {− N − 1 , N + 1 , c } . Let L = max { j ≥ 0 : X j = 0 } . On Ω ◦ = { X j terminates at c } , denote by R ◦ , V ◦ , and L ◦ respectively, as the numbers of runs, short runs, and steps from L until termination. Denote Y ◦ = R ◦ − 2 V ◦ and Z ◦ = L ◦ − 3 R ◦ +2 V ◦ . Then lim N →∞ E { e i 1 N ( s Y ◦ + t Z ◦ ) | Ω ◦ } = C a,b

设{Xj，j≥0}表示[−N−1，N+1]Ş{c}上的马尔可夫过程。假设P（Xj+1=m+1|Xj=m）=ph，P（XJ+1=m−1|Xj=m）=（1−P）h，所有j≥1，|m|≤N，其中P=12+bN，h=1−c N，c N=12a2/N 2。定义P（X j+1=c|X j=m）=c N，j≥0，|m|≤N。{Xj}终止于第一个j，使得Xj∈{−N−1，N+1，c}。设L=max｛j≥0:Xj=0｝。在…上Ω ◦ = {Xj终止于c}，用R表示◦ , 五、◦ , 和L◦ 分别为从L到终止的运行次数、短运行次数和步数。表示Y◦ = R◦ − 2伏◦ 和Z◦ = L◦ − 3 R◦ +2伏◦ . 然后lim N→∞ E｛E i 1 N（s Y◦ + t Z◦ ) | Ω ◦ } = C a，b

引用次数: 0

Optimizing Erlangization-based approximations for finite discrete distributions and discrete phase-type distributions 有限离散分布和离散相位型分布的基于Erlangization的近似优化

IF 0.7 4区数学 Q4 STATISTICS & PROBABILITY

Stochastic Models

Pub Date : 2023-07-07 DOI: 10.1080/15326349.2023.2222463

Haoran Wu, Qi-Ming He

引用次数: 0

Robust optimal asset-liability management under square-root factor processes and model ambiguity: a BSDE approach 平方根因素过程和模型模糊下的稳健最优资产负债管理:一种BSDE方法

IF 0.7 4区数学 Q4 STATISTICS & PROBABILITY

Stochastic Models

Pub Date : 2023-07-07 DOI: 10.1080/15326349.2023.2221822

Yumo Zhang

Abstract

This article studies robust optimal asset-liability management problems for an ambiguity-averse manager in a possibly non-Markovian environment with stochastic investment opportunities. The manager has access to one risk-free asset and one risky asset in a financial market. The market price of risk relies on a stochastic factor process satisfying an affine-form, square-root, Markovian model, whereas the risky asset’s return rate and volatility are potentially given by general non-Markovian, unbounded stochastic processes. This financial framework includes, but is not limited to, the constant elasticity of variance (CEV) model, the family of 4/2 stochastic volatility models, and some path-dependent non-Markovian models, as exceptional cases. As opposed to most of the papers using the Hamilton-Jacobi-Bellman-Issacs (HJBI) equation to deal with model ambiguity in the Markovian cases, we address the non-Markovian case by proposing a backward stochastic differential equation (BSDE) approach. By solving the associated BSDEs explicitly, we derive, in closed form, the robust optimal controls and robust optimal value functions for power and exponential utility, respectively. In addition, analytical solutions to some particular cases of our model are provided. Finally, the effects of model ambiguity and market parameters on the robust optimal investment strategies are illustrated under the CEV model and 4/2 model with numerical examples.

摘要本文研究了具有随机投资机会的可能非马尔可夫环境中规避模糊性的管理者的鲁棒最优资产负债管理问题。经理可以在金融市场上使用一种无风险资产和一种风险资产。风险的市场价格依赖于满足仿射形式的平方根马尔可夫模型的随机因素过程，而风险资产的收益率和波动性则可能由一般的非马尔可夫无界随机过程给出。这个金融框架包括，但不限于，恒定弹性方差(CEV)模型，4/2随机波动模型家族，以及一些路径相关的非马尔可夫模型，作为例外情况。与大多数论文使用Hamilton-Jacobi-Bellman-Issacs (HJBI)方程来处理马尔可夫情况下的模型模糊不同，我们提出了一种倒向随机微分方程(BSDE)方法来解决非马尔可夫情况。通过显式求解相关的BSDEs，我们分别以封闭形式导出了幂效用和指数效用的鲁棒最优控制和鲁棒最优值函数。此外，对模型的一些特殊情况给出了解析解。最后，通过数值算例分析了CEV模型和4/2模型下模型模糊度和市场参数对稳健最优投资策略的影响。

{"title":"Robust optimal asset-liability management under square-root factor processes and model ambiguity: a BSDE approach","authors":"Yumo Zhang","doi":"10.1080/15326349.2023.2221822","DOIUrl":"https://doi.org/10.1080/15326349.2023.2221822","url":null,"abstract":"AbstractThis article studies robust optimal asset-liability management problems for an ambiguity-averse manager in a possibly non-Markovian environment with stochastic investment opportunities. The manager has access to one risk-free asset and one risky asset in a financial market. The market price of risk relies on a stochastic factor process satisfying an affine-form, square-root, Markovian model, whereas the risky asset’s return rate and volatility are potentially given by general non-Markovian, unbounded stochastic processes. This financial framework includes, but is not limited to, the constant elasticity of variance (CEV) model, the family of 4/2 stochastic volatility models, and some path-dependent non-Markovian models, as exceptional cases. As opposed to most of the papers using the Hamilton-Jacobi-Bellman-Issacs (HJBI) equation to deal with model ambiguity in the Markovian cases, we address the non-Markovian case by proposing a backward stochastic differential equation (BSDE) approach. By solving the associated BSDEs explicitly, we derive, in closed form, the robust optimal controls and robust optimal value functions for power and exponential utility, respectively. In addition, analytical solutions to some particular cases of our model are provided. Finally, the effects of model ambiguity and market parameters on the robust optimal investment strategies are illustrated under the CEV model and 4/2 model with numerical examples.","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":"18 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138536241","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}

引用次数: 0

首页上一页

下一页尾页

类型

全部化学•材料生命科学医学物理工程技术环境•农林材料科学地球科学法学管理学化学环境科学与生态学计算机科学教育学经济学农林科学人文科学生物学数学物理与天体物理心理学综合性期刊其他工业工程理学历史学农学文学信息工程

数据库

全部 ACS Publications Elsevier ieeexplore Springer The Royal Society of Chemistry Wiley

期刊

Stochastic Models

全部 Acc. Chem. Res. ACS Applied Bio Materials ACS Appl. Electron. Mater. ACS Appl. Energy Mater. ACS Appl. Mater. Interfaces ACS Appl. Nano Mater. ACS Appl. Polym. Mater. ACS BIOMATER-SCI ENG ACS Catal. ACS Cent. Sci. ACS Chem. Biol. ACS Chemical Health & Safety ACS Chem. Neurosci. ACS Comb. Sci. ACS Earth Space Chem. ACS Energy Lett. ACS Infect. Dis. ACS Macro Lett. ACS Mater. Lett. ACS Med. Chem. Lett. ACS Nano ACS Omega ACS Photonics ACS Sens. ACS Sustainable Chem. Eng. ACS Synth. Biol. Anal. Chem. BIOCHEMISTRY-US Bioconjugate Chem. BIOMACROMOLECULES Chem. Res. Toxicol. Chem. Rev. Chem. Mater. CRYST GROWTH DES ENERG FUEL Environ. Sci. Technol. Environ. Sci. Technol. Lett. Eur. J. Inorg. Chem. IND ENG CHEM RES Inorg. Chem. J. Agric. Food. Chem. J. Chem. Eng. Data J. Chem. Educ. J. Chem. Inf. Model. J. Chem. Theory Comput. J. Med. Chem. J. Nat. Prod. J PROTEOME RES J. Am. Chem. Soc. LANGMUIR MACROMOLECULES Mol. Pharmaceutics Nano Lett. Org. Lett. ORG PROCESS RES DEV ORGANOMETALLICS J. Org. Chem. J. Phys. Chem. J. Phys. Chem. A J. Phys. Chem. B J. Phys. Chem. C J. Phys. Chem. Lett. Analyst Anal. Methods Biomater. Sci. Catal. Sci. Technol. Chem. Commun. Chem. Soc. Rev. CHEM EDUC RES PRACT CRYSTENGCOMM Dalton Trans. Energy Environ. Sci. ENVIRON SCI-NANO ENVIRON SCI-PROC IMP ENVIRON SCI-WAT RES Faraday Discuss. Food Funct. Green Chem. Inorg. Chem. Front. Integr. Biol. J. Anal. At. Spectrom. J. Mater. Chem. A J. Mater. Chem. B J. Mater. Chem. C Lab Chip Mater. Chem. Front. Mater. Horiz. MEDCHEMCOMM Metallomics Mol. Biosyst. Mol. Syst. Des. Eng. Nanoscale Nanoscale Horiz. Nat. Prod. Rep. New J. Chem. Org. Biomol. Chem. Org. Chem. Front. PHOTOCH PHOTOBIO SCI PCCP Polym. Chem.

﹀