Pub Date : 2023-10-17DOI: 10.1080/07362994.2023.2260863
Sahani Pathiraja
AbstractThe aim of this article is to obtain convergence in mean in the uniform topology of piecewise linear approximations of stochastic differential equations (SDEs) with C1 drift and C2 diffusion coefficients with uniformly bounded derivatives. Convergence analyses for such Wong-Zakai approximations most often assume that the coefficients of the SDE are uniformly bounded. Almost sure convergence in the unbounded case can be obtained using now standard rough path techniques, although Lq convergence appears yet to be established and is of importance for several applications involving Monte-Carlo approximations. We consider L2 convergence in the unbounded case using a combination of traditional stochastic analysis and rough path techniques. We expect our proof technique extend to more general piecewise smooth approximations.Keywords: Wong-Zakaiunbounded coefficientspiecewise smooth approximationsstochastic differential equationsrough paths AcknowledgmentsThe author is grateful to Wilhelm Stannat and Sebastian Reich for helpful feedback on this work, as well as anonymous reviewer for their insightful suggestions which has improved this manuscript.Disclosure statementNo potential conflict of interest was reported by the authors.Notes1. This holds for more general semimartingale drivers, but for the purposes of this article, we focus on the case of Wiener processes.2. the notation pi is used to refer to the ith index of a permutation of the set {1,2,⋯r}3. Here we are working with equivalence classesAdditional informationFundingThis research has been partially funded by Deutsche Forschungsgemeinschaft (DFG)- SFB1294/1 - 318763901.
{"title":"<i>L</i> <sup>2</sup> convergence of smooth approximations of stochastic differential equations with unbounded coefficients","authors":"Sahani Pathiraja","doi":"10.1080/07362994.2023.2260863","DOIUrl":"https://doi.org/10.1080/07362994.2023.2260863","url":null,"abstract":"AbstractThe aim of this article is to obtain convergence in mean in the uniform topology of piecewise linear approximations of stochastic differential equations (SDEs) with C1 drift and C2 diffusion coefficients with uniformly bounded derivatives. Convergence analyses for such Wong-Zakai approximations most often assume that the coefficients of the SDE are uniformly bounded. Almost sure convergence in the unbounded case can be obtained using now standard rough path techniques, although Lq convergence appears yet to be established and is of importance for several applications involving Monte-Carlo approximations. We consider L2 convergence in the unbounded case using a combination of traditional stochastic analysis and rough path techniques. We expect our proof technique extend to more general piecewise smooth approximations.Keywords: Wong-Zakaiunbounded coefficientspiecewise smooth approximationsstochastic differential equationsrough paths AcknowledgmentsThe author is grateful to Wilhelm Stannat and Sebastian Reich for helpful feedback on this work, as well as anonymous reviewer for their insightful suggestions which has improved this manuscript.Disclosure statementNo potential conflict of interest was reported by the authors.Notes1. This holds for more general semimartingale drivers, but for the purposes of this article, we focus on the case of Wiener processes.2. the notation pi is used to refer to the ith index of a permutation of the set {1,2,⋯r}3. Here we are working with equivalence classesAdditional informationFundingThis research has been partially funded by Deutsche Forschungsgemeinschaft (DFG)- SFB1294/1 - 318763901.","PeriodicalId":49474,"journal":{"name":"Stochastic Analysis and Applications","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135944279","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 : 2023-10-13DOI: 10.1080/07362994.2023.2266492
L. M. Grilo, T. F. Braz, H. L. Grilo, J. P. Maidana, M. Stehlík
AbstractBorder officers experience stressful moments during the working day at the border point at Lisbon airport (Portugal) that can lead to “emotional exhaustion,” which is the core component of burnout, and relates with “cognitive fatigue (weariness)” and “physical fatigue.” These theoretical concepts cannot be measured (or observed) directly by what are considered latent variables/constructs that are available in Shirom-Melamed Burnout Measure (SMBM). These constructs are, however, operationalized by the questions available in the SMBM, which correspond to observed variables (or manifest variables) expressed in an ordinal scale of seven categories. This questionnaire, reliable and internationally validated, was used in our research and considering the specialized literature, we proposed a hypothetical structural path model that expresses a priori perceptions about the causal relationships between the mentioned latent constructs, where “physical fatigue” is the target construct. A reflective model was estimated based on the sample of primary data and using a Variance-Covariance estimator of Structural Equations Modeling (VB-SEM), the consistent Partial Least Squares (PLSc), that corrects for bias to consistently estimate SEM’s with common factors. The results obtained allow a better understanding of the profile and characteristics of Portuguese border officers who work at Lisbon airport, as well as reveal that the latent exogenous construct “emotional exhaustion” has a high positive direct effect on the “cognitive fatigue,” and through this latter (mediator construct), an indirect effect on the endogenous construct “physical fatigue.” In turn, “cognitive fatigue” has the greatest positive direct effect on “physical fatigue.” The biggest difference identified was between the direct effect of “Emotional exhaustion” on “Physical fatigue,” which is higher for workers with more years of service, as expected. However, the multigroup analysis (using the nonparametric Permutation test) showed that this difference was not statistically significant.Keywords: Consistent partial least squaresmultivariate analysispath modelpsychosocial riskssurvey AcknowledgmentsWe acknowledge support of the Editor and the informative and insightful suggestions of Referees.Disclosure statementNo potential conflict of interest was reported by the authors.Additional informationFunding This work is funded by national funds through the FCT - Fundaç∼ao para a Ciência e a Tecnologia, I.P., under the scope of the projects UIDB/00297/2020 and UIDP/00297/2020 (Center for Mathematics and Applications) and UIDB/04674/2020 (Research Center in Mathematics and Applications).
【摘要】葡萄牙里斯本机场边检站的边防工作人员在工作过程中会经历一些紧张的时刻,这些时刻会导致“情绪衰竭”,这是倦怠的核心组成部分,与“认知疲劳”和“身体疲劳”有关。这些理论概念不能通过Shirom-Melamed倦怠测量(SMBM)中可用的潜在变量/结构直接测量(或观察)。然而,这些结构是由SMBM中可用的问题来操作的,这些问题对应于用七个类别的有序尺度表示的观察变量(或明显变量)。我们的研究使用了这一可靠且经过国际验证的问卷,并考虑到专业文献,我们提出了一个假设的结构路径模型,该模型表达了对上述潜在构念之间因果关系的先验认知,其中“身体疲劳”是目标构念。基于原始数据样本,使用结构方程建模(VB-SEM)的方差-协方差估计器,即一致偏最小二乘(PLSc),对偏差进行校正,以一致地估计具有共同因素的SEM。研究结果可以更好地理解在里斯本机场工作的葡萄牙边境官员的形象和特征,同时也揭示了潜在的外生构念“情绪耗竭”对“认知疲劳”有很高的正面直接影响,并通过后者(中介构念)间接影响内生构念“身体疲劳”。反过来,“认知疲劳”对“身体疲劳”有最大的积极直接影响。发现的最大差异是“情绪疲惫”对“身体疲劳”的直接影响,正如预期的那样,工作年限越长,“身体疲劳”的程度越高。然而,多组分析(使用非参数排列检验)表明这种差异没有统计学意义。关键词:一致偏最小二乘多变量分析路径模型心理社会风险调查感谢我们感谢编辑的支持和审稿人提供的信息和有见地的建议。披露声明作者未报告潜在的利益冲突。本工作由国家基金通过FCT - Fundaç ~ ao para a Ciência ea tecologia, i.p.资助,项目范围为UIDB/00297/2020和UIDP/00297/2020(数学与应用中心)和UIDB/04674/2020(数学与应用研究中心)。
{"title":"Modeling the facets of burnout in Lisbon airport border officers using PLSc-SEM estimator","authors":"L. M. Grilo, T. F. Braz, H. L. Grilo, J. P. Maidana, M. Stehlík","doi":"10.1080/07362994.2023.2266492","DOIUrl":"https://doi.org/10.1080/07362994.2023.2266492","url":null,"abstract":"AbstractBorder officers experience stressful moments during the working day at the border point at Lisbon airport (Portugal) that can lead to “emotional exhaustion,” which is the core component of burnout, and relates with “cognitive fatigue (weariness)” and “physical fatigue.” These theoretical concepts cannot be measured (or observed) directly by what are considered latent variables/constructs that are available in Shirom-Melamed Burnout Measure (SMBM). These constructs are, however, operationalized by the questions available in the SMBM, which correspond to observed variables (or manifest variables) expressed in an ordinal scale of seven categories. This questionnaire, reliable and internationally validated, was used in our research and considering the specialized literature, we proposed a hypothetical structural path model that expresses a priori perceptions about the causal relationships between the mentioned latent constructs, where “physical fatigue” is the target construct. A reflective model was estimated based on the sample of primary data and using a Variance-Covariance estimator of Structural Equations Modeling (VB-SEM), the consistent Partial Least Squares (PLSc), that corrects for bias to consistently estimate SEM’s with common factors. The results obtained allow a better understanding of the profile and characteristics of Portuguese border officers who work at Lisbon airport, as well as reveal that the latent exogenous construct “emotional exhaustion” has a high positive direct effect on the “cognitive fatigue,” and through this latter (mediator construct), an indirect effect on the endogenous construct “physical fatigue.” In turn, “cognitive fatigue” has the greatest positive direct effect on “physical fatigue.” The biggest difference identified was between the direct effect of “Emotional exhaustion” on “Physical fatigue,” which is higher for workers with more years of service, as expected. However, the multigroup analysis (using the nonparametric Permutation test) showed that this difference was not statistically significant.Keywords: Consistent partial least squaresmultivariate analysispath modelpsychosocial riskssurvey AcknowledgmentsWe acknowledge support of the Editor and the informative and insightful suggestions of Referees.Disclosure statementNo potential conflict of interest was reported by the authors.Additional informationFunding This work is funded by national funds through the FCT - Fundaç∼ao para a Ciência e a Tecnologia, I.P., under the scope of the projects UIDB/00297/2020 and UIDP/00297/2020 (Center for Mathematics and Applications) and UIDB/04674/2020 (Research Center in Mathematics and Applications).","PeriodicalId":49474,"journal":{"name":"Stochastic Analysis and Applications","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135855068","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 : 2023-10-09DOI: 10.1080/07362994.2023.2262551
Silvia Sabatini, Elena Villa
Abstract.Inspired by issues of formal kinetics in materials science, we consider a class of processes with density with respect to an inhomogeneous finite Poisson point process, which may be regarded as a generalization of the classical Strauss hard-core process. We prove expressions for the intensity measure and the void probabilities, together with upper and lower bounds. A discussion on some special cases of interest, links with literature and a comparison between Matérn I and Strauss hard-core process are also provided. We apply such a special class of point processes in modeling patterns of non-overlapping grains and in the study of the mean volume density of particular birth-and-growth processes.Keywords: Gibbs hard-core point processintensitygerm-grain modelmean volume densityAMS Classification 2020:: 60G5560D05 AcknowledgmentsThe authors would like to thank Harison S. Ventura for the figures, and Professor P.R. Rios of Universidade Federal Fluminense for fruitful discussions on application problems.EV is member of the Gruppo Nazionale per l’Analisi Matematica, la Probabilità e le loro Applicazioni (GNAMPA) of the Istituto Nazionale di Alta Matematica (INdAM).Disclosure statementThe authors report there are no competing interests to declare.
摘要受材料科学中形式动力学问题的启发,我们考虑了一类关于非齐次有限泊松点过程的密度过程,该过程可视为经典施特劳斯硬核过程的推广。我们证明了强度测度和空洞概率的表达式,以及上界和下界。还讨论了一些特殊的感兴趣的案例,与文献的联系,以及matsamrn I和Strauss硬核过程之间的比较。我们将这类特殊的点过程应用于非重叠晶粒模式的建模以及特定出生和生长过程的平均体积密度的研究。关键词:Gibbs硬核点工艺强度细菌颗粒模型平均体积密度ams分类2020::60G5560D05致谢作者要感谢Harison S. Ventura提供的数据,以及联邦佛罗里达大学P.R. Rios教授对应用问题的富有成效的讨论。EV是意大利国家数学研究所(INdAM)下属的数学分析、概率和应用国家小组(GNAMPA)的成员。作者报告无利益竞争需要申报。
{"title":"On a special class of gibbs hard-core point processes modeling random patterns of non-overlapping grains","authors":"Silvia Sabatini, Elena Villa","doi":"10.1080/07362994.2023.2262551","DOIUrl":"https://doi.org/10.1080/07362994.2023.2262551","url":null,"abstract":"Abstract.Inspired by issues of formal kinetics in materials science, we consider a class of processes with density with respect to an inhomogeneous finite Poisson point process, which may be regarded as a generalization of the classical Strauss hard-core process. We prove expressions for the intensity measure and the void probabilities, together with upper and lower bounds. A discussion on some special cases of interest, links with literature and a comparison between Matérn I and Strauss hard-core process are also provided. We apply such a special class of point processes in modeling patterns of non-overlapping grains and in the study of the mean volume density of particular birth-and-growth processes.Keywords: Gibbs hard-core point processintensitygerm-grain modelmean volume densityAMS Classification 2020:: 60G5560D05 AcknowledgmentsThe authors would like to thank Harison S. Ventura for the figures, and Professor P.R. Rios of Universidade Federal Fluminense for fruitful discussions on application problems.EV is member of the Gruppo Nazionale per l’Analisi Matematica, la Probabilità e le loro Applicazioni (GNAMPA) of the Istituto Nazionale di Alta Matematica (INdAM).Disclosure statementThe authors report there are no competing interests to declare.","PeriodicalId":49474,"journal":{"name":"Stochastic Analysis and Applications","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135141668","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 : 2023-09-13DOI: 10.1080/07362994.2023.2254371
Amali Paul Rose Gregory, Murugan Suvinthra, Krishnan Balachandran
In this work, we consider the stochastic Cahn-Hilliard/Allen-Cahn equation with fractional noise, which is fractional in time and white in space. We obtain the existence, uniqueness, and Hölder regularity of the solution. Also, using a weak convergence approach, we prove that the law of solution associated with the above equation with a small perturbation satisfies the large deviation principle in the Hölder norm.
{"title":"Large deviation principle for the stochastic Cahn-Hilliard/Allen-Cahn equation with fractional noise","authors":"Amali Paul Rose Gregory, Murugan Suvinthra, Krishnan Balachandran","doi":"10.1080/07362994.2023.2254371","DOIUrl":"https://doi.org/10.1080/07362994.2023.2254371","url":null,"abstract":"In this work, we consider the stochastic Cahn-Hilliard/Allen-Cahn equation with fractional noise, which is fractional in time and white in space. We obtain the existence, uniqueness, and Hölder regularity of the solution. Also, using a weak convergence approach, we prove that the law of solution associated with the above equation with a small perturbation satisfies the large deviation principle in the Hölder norm.","PeriodicalId":49474,"journal":{"name":"Stochastic Analysis and Applications","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135733629","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 : 2023-07-04DOI: 10.1080/07362994.2022.2075385
Nguyen Tien Dung, Ta Cong Son
Abstract The problem of investigating the continuity in the Hurst index arises naturally in statistical inferences related to fractional Brownian motion. In this paper, based on the techniques of the Malliavin calculus, we introduce a method to deal with this problem. We first provide an explicit bound on the difference between two non-smooth functionals of Malliavin differentiable random variables. Then, we apply the obtained bound to show Lipchitz continuity of fractional stochastic Volterra integro-differential equations and its additive functionals.
{"title":"Lipschitz continuity in the Hurst index of the solutions of fractional stochastic volterra integro-differential equations","authors":"Nguyen Tien Dung, Ta Cong Son","doi":"10.1080/07362994.2022.2075385","DOIUrl":"https://doi.org/10.1080/07362994.2022.2075385","url":null,"abstract":"Abstract The problem of investigating the continuity in the Hurst index arises naturally in statistical inferences related to fractional Brownian motion. In this paper, based on the techniques of the Malliavin calculus, we introduce a method to deal with this problem. We first provide an explicit bound on the difference between two non-smooth functionals of Malliavin differentiable random variables. Then, we apply the obtained bound to show Lipchitz continuity of fractional stochastic Volterra integro-differential equations and its additive functionals.","PeriodicalId":49474,"journal":{"name":"Stochastic Analysis and Applications","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2023-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46069548","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 : 2023-05-29DOI: 10.1080/07362994.2023.2213745
P. Jordanova, M. Stehlík
{"title":"Flexible extreme value inference","authors":"P. Jordanova, M. Stehlík","doi":"10.1080/07362994.2023.2213745","DOIUrl":"https://doi.org/10.1080/07362994.2023.2213745","url":null,"abstract":"","PeriodicalId":49474,"journal":{"name":"Stochastic Analysis and Applications","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2023-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48661709","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 : 2023-05-08DOI: 10.1080/07362994.2023.2208654
Gerardo Hernández-del-Valle, Wincy A. Guerra-Polania
{"title":"On the heat equation with a moving boundary and applications to hitting times for Brownian motion","authors":"Gerardo Hernández-del-Valle, Wincy A. Guerra-Polania","doi":"10.1080/07362994.2023.2208654","DOIUrl":"https://doi.org/10.1080/07362994.2023.2208654","url":null,"abstract":"","PeriodicalId":49474,"journal":{"name":"Stochastic Analysis and Applications","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2023-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42297528","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 : 2023-05-02DOI: 10.1080/07362994.2023.2203733
Hani Abidi, Abdelkarim Oualaid, Y. Ouknine, R. Pettersson
{"title":"A mild approach to spatial discretization for backward stochastic differential equations in infinite dimensions","authors":"Hani Abidi, Abdelkarim Oualaid, Y. Ouknine, R. Pettersson","doi":"10.1080/07362994.2023.2203733","DOIUrl":"https://doi.org/10.1080/07362994.2023.2203733","url":null,"abstract":"","PeriodicalId":49474,"journal":{"name":"Stochastic Analysis and Applications","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2023-05-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47889500","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 : 2023-04-12DOI: 10.1080/07362994.2023.2192267
{"title":"Stochastic calculus for tempered fractional Brownian motion and stability for SDEs driven by TFBM","authors":"","doi":"10.1080/07362994.2023.2192267","DOIUrl":"https://doi.org/10.1080/07362994.2023.2192267","url":null,"abstract":"","PeriodicalId":49474,"journal":{"name":"Stochastic Analysis and Applications","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2023-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48310445","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}