Pub Date : 2022-11-07DOI: 10.1137/s0040585x97t991039
T. C. Son, L. V. Dung, D. T. Dat, T. T. Trang
Theory of Probability &Its Applications, Volume 67, Issue 3, Page 434-451, November 2022. The aim of this paper is to apply the theory of regularly varying functions for studying Marcinkiewicz weak and strong laws of large numbers for the weighted sum $S_n=sum_{j=1}^{m_n}c_{nj}X_j$, where $(X_n;, ngeq 1)$ is a sequence of dependent random vectors in Hilbert spaces, and $(c_{nj})$ is an array of real numbers. Moreover, these results are applied to obtain some results on the convergence of multivariate Pareto--Zipf distributions and multivariate log-gamma distributions.
{"title":"Generalized Marcinkiewicz Laws for Weighted Dependent Random Vectors in Hilbert Spaces","authors":"T. C. Son, L. V. Dung, D. T. Dat, T. T. Trang","doi":"10.1137/s0040585x97t991039","DOIUrl":"https://doi.org/10.1137/s0040585x97t991039","url":null,"abstract":"Theory of Probability &Its Applications, Volume 67, Issue 3, Page 434-451, November 2022. <br/> The aim of this paper is to apply the theory of regularly varying functions for studying Marcinkiewicz weak and strong laws of large numbers for the weighted sum $S_n=sum_{j=1}^{m_n}c_{nj}X_j$, where $(X_n;, ngeq 1)$ is a sequence of dependent random vectors in Hilbert spaces, and $(c_{nj})$ is an array of real numbers. Moreover, these results are applied to obtain some results on the convergence of multivariate Pareto--Zipf distributions and multivariate log-gamma distributions.","PeriodicalId":51193,"journal":{"name":"Theory of Probability and its Applications","volume":null,"pages":null},"PeriodicalIF":0.6,"publicationDate":"2022-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539725","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 : 2022-11-07DOI: 10.1137/s0040585x97t991015
M. Biret, M. Broniatowski, Z. Cao
Theory of Probability &Its Applications, Volume 67, Issue 3, Page 389-414, November 2022. We explore some properties of the conditional distribution of an independently and identically distributed (i.i.d.) sample under large exceedances of its sum. Thresholds for the asymptotic independence of the summands are observed, in contrast with the classical case when the conditioning event is in the range of a large deviation. This paper is an extension of Broniatowski and Cao [Extremes, 17 (2014), pp. 305--336]. Tools include a new Edgeworth expansion adapted to specific triangular arrays, where the rows are generated by tilted distribution with diverging parameters, and some Abelian type results.
概率论及其应用，67卷，第3期，389-414页，2022年11月。研究了独立同分布(i.i.d)样本在其和的大超出下的条件分布的一些性质。与经典情况相比，当条件作用事件在较大偏差范围内时，观察到求和的渐近独立性的阈值。本文是Broniatowski和Cao [Extremes, 17 (2014)， pp. 305—336]的延伸。工具包括一个新的Edgeworth扩展，适用于特定的三角形数组，其中行是由具有发散参数的倾斜分布产生的，以及一些阿贝尔类型的结果。
{"title":"A Gibbs Conditional Theorem under Extreme Deviation","authors":"M. Biret, M. Broniatowski, Z. Cao","doi":"10.1137/s0040585x97t991015","DOIUrl":"https://doi.org/10.1137/s0040585x97t991015","url":null,"abstract":"Theory of Probability &Its Applications, Volume 67, Issue 3, Page 389-414, November 2022. <br/> We explore some properties of the conditional distribution of an independently and identically distributed (i.i.d.) sample under large exceedances of its sum. Thresholds for the asymptotic independence of the summands are observed, in contrast with the classical case when the conditioning event is in the range of a large deviation. This paper is an extension of Broniatowski and Cao [Extremes, 17 (2014), pp. 305--336]. Tools include a new Edgeworth expansion adapted to specific triangular arrays, where the rows are generated by tilted distribution with diverging parameters, and some Abelian type results.","PeriodicalId":51193,"journal":{"name":"Theory of Probability and its Applications","volume":null,"pages":null},"PeriodicalIF":0.6,"publicationDate":"2022-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539711","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 : 2022-02-01DOI: 10.1137/s0040585x97t990617
V. Bogachev
{"title":"Chebyshev--Hermite Polynomials and Distributions of Polynomials in Gaussian Random Variables","authors":"V. Bogachev","doi":"10.1137/s0040585x97t990617","DOIUrl":"https://doi.org/10.1137/s0040585x97t990617","url":null,"abstract":"","PeriodicalId":51193,"journal":{"name":"Theory of Probability and its Applications","volume":null,"pages":null},"PeriodicalIF":0.6,"publicationDate":"2022-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74410708","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 : 2022-02-01DOI: 10.1137/s0040585x97t990642
N. Agram, S. Haadem, B. Øksendal, F. Proske
{"title":"Optimal Stopping, Randomized Stopping, and Singular Control with General Information Flow","authors":"N. Agram, S. Haadem, B. Øksendal, F. Proske","doi":"10.1137/s0040585x97t990642","DOIUrl":"https://doi.org/10.1137/s0040585x97t990642","url":null,"abstract":"","PeriodicalId":51193,"journal":{"name":"Theory of Probability and its Applications","volume":null,"pages":null},"PeriodicalIF":0.6,"publicationDate":"2022-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88767174","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 : 2022-02-01DOI: 10.1137/s0040585x97t990654
A. Barrasso, N. Touzi
Рассматривается игра среднего поля с одним внешним шумом, коэффициент диффузии которого включает управление. Доказывается существование слабого решения с релаксацией при некоторых условиях на коэффициент диффузии. Далее, показывается, что при отсутствии этого внешнего шума игра среднего поля описывается обратным стохастическим дифференциальным уравнением типа Маккина–Власова второго порядка.
{"title":"Controlled Diffusion Mean Field Games with Common Noise and McKean--Vlasov Second Order Backward SDEs","authors":"A. Barrasso, N. Touzi","doi":"10.1137/s0040585x97t990654","DOIUrl":"https://doi.org/10.1137/s0040585x97t990654","url":null,"abstract":"Рассматривается игра среднего поля с одним внешним шумом, коэффициент диффузии которого включает управление. Доказывается существование слабого решения с релаксацией при некоторых условиях на коэффициент диффузии. Далее, показывается, что при отсутствии этого внешнего шума игра среднего поля описывается обратным стохастическим дифференциальным уравнением типа Маккина–Власова второго порядка.","PeriodicalId":51193,"journal":{"name":"Theory of Probability and its Applications","volume":null,"pages":null},"PeriodicalIF":0.6,"publicationDate":"2022-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77777471","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 : 2022-02-01DOI: 10.1137/s0040585x97t990605
S. G. Bobkov, V. Ulyanov
{"title":"The Chebyshev--Edgeworth Correction in the Central Limit Theorem for Integer-Valued Independent Summands","authors":"S. G. Bobkov, V. Ulyanov","doi":"10.1137/s0040585x97t990605","DOIUrl":"https://doi.org/10.1137/s0040585x97t990605","url":null,"abstract":"","PeriodicalId":51193,"journal":{"name":"Theory of Probability and its Applications","volume":null,"pages":null},"PeriodicalIF":0.6,"publicationDate":"2022-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77567887","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 : 2022-02-01DOI: 10.1137/s0040585x97t990599
A. Aparin, G. A. Popov, E. Yarovaya
{"title":"On the Sojourn Time Distribution of a Random Walk at a Multidimensional Lattice Point","authors":"A. Aparin, G. A. Popov, E. Yarovaya","doi":"10.1137/s0040585x97t990599","DOIUrl":"https://doi.org/10.1137/s0040585x97t990599","url":null,"abstract":"","PeriodicalId":51193,"journal":{"name":"Theory of Probability and its Applications","volume":null,"pages":null},"PeriodicalIF":0.6,"publicationDate":"2022-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88124657","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 : 2022-02-01DOI: 10.1137/s0040585x97t990575
A. Shiryaev
{"title":"On the Bicentenary of the Birth of P. L. Chebyshev, A Great Russian Mathematician","authors":"A. Shiryaev","doi":"10.1137/s0040585x97t990575","DOIUrl":"https://doi.org/10.1137/s0040585x97t990575","url":null,"abstract":"","PeriodicalId":51193,"journal":{"name":"Theory of Probability and its Applications","volume":null,"pages":null},"PeriodicalIF":0.6,"publicationDate":"2022-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87399043","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 : 2022-02-01DOI: 10.1137/s0040585x97t990691
N. Kordzakhia, A. Novikov
{"title":"On Maximal Inequalities for Ornstein--Uhlenbeck Processes with Jumps","authors":"N. Kordzakhia, A. Novikov","doi":"10.1137/s0040585x97t990691","DOIUrl":"https://doi.org/10.1137/s0040585x97t990691","url":null,"abstract":"","PeriodicalId":51193,"journal":{"name":"Theory of Probability and its Applications","volume":null,"pages":null},"PeriodicalIF":0.6,"publicationDate":"2022-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86316498","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 : 2022-02-01DOI: 10.1137/s0040585x97t990629
A. Borovkov, A. Logachov, A. Mogulskii
{"title":"Chebyshev-Type Inequalities and Large Deviation Principles","authors":"A. Borovkov, A. Logachov, A. Mogulskii","doi":"10.1137/s0040585x97t990629","DOIUrl":"https://doi.org/10.1137/s0040585x97t990629","url":null,"abstract":"","PeriodicalId":51193,"journal":{"name":"Theory of Probability and its Applications","volume":null,"pages":null},"PeriodicalIF":0.6,"publicationDate":"2022-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85838890","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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