On risk reserve under distribution constraints

Mariusz Michta

Displaying similar documents to “On risk reserve under distribution constraints”

On reliability analysis of consecutive $k$ -out-of- $n$ systems with arbitrarily dependent components

Ebrahim Salehi (2016)

Applications of Mathematics

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In this paper, we consider the linear and circular consecutive $k$ -out-of- $n$ systems consisting of arbitrarily dependent components. Under the condition that at least $n - r + 1$ components ( $r \leq n$ ) of the system are working at time $t$ , we study the reliability properties of the residual lifetime of such systems. Also, we present some stochastic ordering properties of residual lifetime of consecutive $k$ -out-of- $n$ systems. In the following, we investigate the inactivity time of the component with lifetime...

Nonconventional limit theorems in averaging

Yuri Kifer (2014)

Annales de l'I.H.P. Probabilités et statistiques

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We consider “nonconventional” averaging setup in the form $\frac{d X^{ε} (t)}{d t} = ε B (X^{ε} (t)$ , $𝛯 (q_{1} (t)), 𝛯 (q_{2} (t)), ..., 𝛯 (q_{ℓ} (t)))$ where $𝛯 (t)$ , $t \geq 0$ is either a stochastic process or a dynamical system with sufficiently fast mixing while $q_{j} (t) = α_{j} t$ , $α_{1} l t; α_{2} l t; \dots l t; α_{k}$ and $q_{j}$ , $j = k + 1, ..., ℓ$ grow faster than linearly. We show that the properly normalized error term in the “nonconventional” averaging principle is asymptotically Gaussian.

Density estimation via best $L^{2}$ -approximation on classes of step functions

Dietmar Ferger, John Venz (2017)

Kybernetika

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We establish consistent estimators of jump positions and jump altitudes of a multi-level step function that is the best $L^{2}$ -approximation of a probability density function $f$ . If $f$ itself is a step-function the number of jumps may be unknown.

Quasi-diffusion solution of a stochastic differential equation

Agnieszka Plucińska, Wojciech Szymański (2007)

Applicationes Mathematicae

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We consider the stochastic differential equation $X_{t} = X ₀ + \int_{0}^{t} (A_{s} + B_{s} X_{s}) d s + \int_{0}^{t} C_{s} d Y_{s}$ , where $A_{t}$ , $B_{t}$ , $C_{t}$ are nonrandom continuous functions of t, X₀ is an initial random variable, $Y = (Y_{t}, t \geq 0)$ is a Gaussian process and X₀, Y are independent. We give the form of the solution ( $X_{t}$ ) to (0.1) and then basing on the results of Plucińska [Teor. Veroyatnost. i Primenen. 25 (1980)] we prove that ( $X_{t}$ ) is a quasi-diffusion proces.

On pathwise uniqueness for stochastic differential equations driven by stable Lévy processes

Nicolas Fournier (2013)

Annales de l'I.H.P. Probabilités et statistiques

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We study a one-dimensional stochastic differential equation driven by a stable Lévy process of order $α$ with drift and diffusion coefficients $b$ , $σ$ . When $α \in (1, 2)$ , we investigate pathwise uniqueness for this equation. When $α \in (0, 1)$ , we study another stochastic differential equation, which is equivalent in law, but for which pathwise uniqueness holds under much weaker conditions. We obtain various results, depending on whether $α \in (0, 1)$ or $α \in (1, 2)$ and on whether the driving stable process is symmetric or not. Our...

Initial measures for the stochastic heat equation

Daniel Conus, Mathew Joseph, Davar Khoshnevisan, Shang-Yuan Shiu (2014)

Annales de l'I.H.P. Probabilités et statistiques

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We consider a family of nonlinear stochastic heat equations of the form $\partial_{t} u = ℒ u + σ (u) \dot{W}$ , where $\dot{W}$ denotes space–time white noise, $ℒ$ the generator of a symmetric Lévy process on $𝐑$ , and $σ$ is Lipschitz continuous and zero at 0. We show that this stochastic PDE has a random-field solution for every finite initial measure $u_{0}$ . Tight a priori bounds on the moments of the solution are also obtained. In the particular case that $ℒ f = c f^{''}$ for some $c g t; 0$ , we prove that if $u_{0}$ is a finite measure of compact support, then the...

Estimating composite functions by model selection

Yannick Baraud, Lucien Birgé (2014)

Annales de l'I.H.P. Probabilités et statistiques

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We consider the problem of estimating a function $s$ on ${[- 1, 1]}^{k}$ for large values of $k$ by looking for some best approximation of $s$ by composite functions of the form $g \circ u$ . Our solution is based on model selection and leads to a very general approach to solve this problem with respect to many different types of functions $g, u$ and statistical frameworks. In particular, we handle the problems of approximating $s$ by additive functions, single and multiple index models, artificial neural networks, mixtures...

An integral operator on the classes $𝒮^{*} (α)$ and $𝒞𝒱ℋ (β)$

Nicoleta Ularu, Nicoleta Breaz (2013)

Annales Universitatis Mariae Curie-Sklodowska, sectio A – Mathematica

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The purpose of this paper is to study some properties related to convexity order and coefficients estimation for a general integral operator. We find the convexity order for this operator, using the analytic functions from the class of starlike functions of order $α$ and from the class $𝒞𝒱ℋ (β)$ and also we estimate the first two coefficients for functions obtained by this operator applied on the class $𝒞𝒱ℋ (β)$ .

On operators from $ℓ_{s}$ to $ℓ_{p} \otimes ̂ ℓ_{q}$ or to $ℓ_{p} \hat{\otimes ̂} ℓ_{q}$

Christian Samuel (2010)

Colloquium Mathematicae

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We show that every operator from $ℓ_{s}$ to $ℓ_{p} \otimes ̂ ℓ_{q}$ is compact when 1 ≤ p,q < s and that every operator from $ℓ_{s}$ to $ℓ_{p} \hat{\otimes ̂} ℓ_{q}$ is compact when 1/p + 1/q > 1 + 1/s.

On orthogonal series estimation of bounded regression functions

Waldemar Popiński (2001)

Applicationes Mathematicae

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The problem of nonparametric estimation of a bounded regression function $f \in L ² ({[a, b]}^{d})$ , [a,b] ⊂ ℝ, d ≥ 1, using an orthonormal system of functions $e_{k}$ , k=1,2,..., is considered in the case when the observations follow the model $Y_{i} = f (X_{i}) + η_{i}$ , i=1,...,n, where $X_{i}$ and $η_{i}$ are i.i.d. copies of independent random variables X and η, respectively, the distribution of X has density ϱ, and η has mean zero and finite variance. The estimators are constructed by proper truncation of the function $f ̂ ₙ (x) = \sum_{k = 1}^{N (n)} c ̂_{k} e_{k} (x)$ , where the coefficients $c ̂ ₁, . . ., c ̂_{N (n)}$ ...

Limit distributions for multitype branching processes of $m$ -ary search trees

Brigitte Chauvin, Quansheng Liu, Nicolas Pouyanne (2014)

Annales de l'I.H.P. Probabilités et statistiques

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Let $m \geq 3$ be an integer. The so-calledis a discrete time Markov chain which is very popular in theoretical computer science, modelling famous algorithms used in searching and sorting. This random process satisfies a well-known phase transition: when $m \leq 26$ , the asymptotic behavior of the process is Gaussian, but for $m \geq 27$ it is no longer Gaussian and a limit $W^{D T}$ of a complex-valued martingale arises. In this paper, we consider the multitype branching process which is the continuous time version of...

Quasi-polynomial mixing of the 2D stochastic Ising model with “plus” boundary up to criticality

Eyal Lubetzky, Fabio Martinelli, Allan Sly, Fabio Lucio Toninelli (2013)

Journal of the European Mathematical Society

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We considerably improve upon the recent result of [37] on the mixing time of Glauber dynamics for the 2D Ising model in a box of side $L$ at low temperature and with random boundary conditions whose distribution $P$ stochastically dominates the extremal plus phase. An important special case is when $P$ is concentrated on the homogeneous all-plus configuration, where the mixing time $T_{M I X}$ is conjectured to be polynomial in $L$ . In [37] it was shown that for a large enough inverse-temperature $β$ and...

From a kinetic equation to a diffusion under an anomalous scaling

Giada Basile (2014)

Annales de l'I.H.P. Probabilités et statistiques

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A linear Boltzmann equation is interpreted as the forward equation for the probability density of a Markov process $(K (t), i (t), Y (t))$ on $(𝕋^{2} \times {1, 2} \times ℝ^{2})$ , where $𝕋^{2}$ is the two-dimensional torus. Here $(K (t), i (t))$ is an autonomous reversible jump process, with waiting times between two jumps with finite expectation value but infinite variance. $Y (t)$ is an additive functional of $K$ , defined as $\int_{0}^{t} v (K (s)) d s$ , where $| v | \sim 1$ for small $k$ . We prove that the rescaled process ${(N ln N)}^{- 1 / 2} Y (N t)$ converges in distribution to a two-dimensional Brownian motion. As a consequence,...

A localization property for $B_{p q}^{s}$ and $F_{p q}^{s}$ spaces

Hans Triebel (1994)

Studia Mathematica

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Let $f^{j} = \sum_{k} a_{k} f (2^{j + 1} x - 2 k)$ , where the sum is taken over the lattice of all points k in $ℝ^{n}$ having integer-valued components, j∈ℕ and $a_{k} \in ℂ$ . Let $A_{p q}^{s}$ be either $B_{p q}^{s}$ or $F_{p q}^{s}$ (s ∈ ℝ, 0 < p < ∞, 0 < q ≤ ∞) on $ℝ^{n} .$ The aim of the paper is to clarify under what conditions $∥ f^{j} | A_{p q}^{s} ∥$ is equivalent to $2^{j (s - n / p)} (\sum_{k} | a_{k} |^{p})^{1 / p} ∥ f | A_{p q}^{s} ∥$ .

Soft local times and decoupling of random interlacements

Serguei Popov, Augusto Teixeira (2015)

Journal of the European Mathematical Society

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In this paper we establish a decoupling feature of the random interlacement process $ℐ^{u} \subset ℤ^{d}$ at level $u$ , $d \geq 3$ . Roughly speaking, we show that observations of $ℐ^{u}$ restricted to two disjoint subsets $A_{1}$ and $A_{2}$ of $ℤ^{d}$ are approximately independent, once we add a sprinkling to the process $ℐ^{u}$ by slightly increasing the parameter $u$ . Our results differ from previous ones in that we allow the mutual distance between the sets $A_{1}$ and $A_{2}$ to be much smaller than their diameters. We then provide an important application...

Weak convergence of mutually independent $X ₙ^{B}$ and $X ₙ^{A}$ under weak convergence of $X ₙ \equiv X ₙ^{B} - X ₙ^{A}$

W. Szczotka (2006)

Applicationes Mathematicae

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For each n ≥ 1, let $v_{n, k}, k \geq 1$ and $u_{n, k}, k \geq 1$ be mutually independent sequences of nonnegative random variables and let each of them consist of mutually independent and identically distributed random variables with means v̅ₙ and u̅̅ₙ, respectively. Let $X ₙ^{B} (t) = (1 / c ₙ) \sum_{j = 1}^{[n t]} (v_{n, j} - v ̅ ₙ)$ , $X ₙ^{A} (t) = (1 / c ₙ) \sum_{j = 1}^{[n t]} (u_{n, j} - u ̅ ̅ ₙ)$ , t ≥ 0, and $X ₙ = X ₙ^{B} - X ₙ^{A}$ . The main result gives conditions under which the weak convergence $X ₙ \overset{}{\to} X$ , where X is a Lévy process, implies $X ₙ^{B} \overset{}{\to} X^{B}$ and $X ₙ^{A} \overset{}{\to} X^{A}$ , where $X^{B}$ and $X^{A}$ are mutually independent Lévy processes and $X = X^{B} - X^{A}$ .

The basic construction from the conditional expectation on the quantum double of a finite group

Qiaoling Xin, Lining Jiang, Zhenhua Ma (2015)

Czechoslovak Mathematical Journal

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Let $G$ be a finite group and $H$ a subgroup. Denote by $D (G; H)$ (or $D (G)$ ) the crossed product of $C (G)$ and $ℂ H$ (or $ℂ G$ ) with respect to the adjoint action of the latter on the former. Consider the algebra $〈 D (G), e 〉$ generated by $D (G)$ and $e$ , where we regard $E$ as an idempotent operator $e$ on $D (G)$ for a certain conditional expectation $E$ of $D (G)$ onto $D (G; H)$ . Let us call $〈 D (G), e 〉$ the basic construction from the conditional expectation $E : D (G) \to D (G; H)$ . The paper constructs a crossed product algebra $C (G / H \times G) ⋊ ℂ G$ , and proves that there is an algebra isomorphism between...