Stochastic Models最新文献_第3页

Increasing Gambler’s Ruin duration and Brownian motion exit times 增加赌徒毁灭的持续时间和布朗运动的退出时间

IF 0.7 4区数学

Stochastic Models Pub Date : 2024-03-01 DOI: 10.1080/15326349.2024.2319208

Erol A. Peköz, Rhonda Righter

引用次数: 0

Optimal dividend and proportional reinsurance strategy for the risk model with common shock dependence 具有共同冲击依赖性的风险模型的最优分红和比例再保险策略

IF 0.7 4区数学

Stochastic Models Pub Date : 2024-03-01 DOI: 10.1080/15326349.2024.2321195

Bo Yang, Ruili Song, Dingjun Yao, Gongpin Cheng

引用次数: 0

Numerical approximation of a hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay 带延迟的混合泊松-跳跃艾特-萨哈利亚型利率模型的数值逼近

IF 0.7 4区数学

Stochastic Models Pub Date : 2024-02-05 DOI: 10.1080/15326349.2024.2305344

Emmanuel Coffie

引用次数: 0

Geometrical interpretation of the population entropy maximum 种群熵最大值的几何解释

IF 0.7 4区数学

Stochastic Models Pub Date : 2024-02-02 DOI: 10.1080/15326349.2023.2297959

Igor Lazov, Petar Lazov

引用次数: 0

Some convergence properties for arrays of rowwise asymptotically almost negatively associated random variables under sub-linear expectations 亚线性期望下行近似几乎负相关随机变量阵列的一些收敛特性

IF 0.7 4区数学

Stochastic Models Pub Date : 2023-12-18 DOI: 10.1080/15326349.2023.2286961

Miaomiao Wang, Shunping Zheng, Xuejun Wang

引用次数: 0

Parisian ruin with power-asymmetric variance near the optimal point with application to many-inputs proportional reinsurance 最优点附近功率不对称方差的巴黎损失及其多输入比例再保险应用

IF 0.7 4区数学

Stochastic Models Pub Date : 2023-11-20 DOI: 10.1080/15326349.2023.2278527

Pavel Ievlev

引用次数: 0

Nadaraya-Watson estimators for stochastic differential equations driven by fractional Brownian motion 分数阶布朗运动驱动的随机微分方程的Nadaraya-Watson估计

IF 0.7 4区数学

Stochastic Models Pub Date : 2023-11-16 DOI: 10.1080/15326349.2023.2275298

Yuecai Han, Dingwen Zhang

引用次数: 0

A queueing model with ON/OFF sources: approximation and stationarity 具有开/关源的队列模型:近似和平稳性

4区数学

Stochastic Models Pub Date : 2023-10-26 DOI: 10.1080/15326349.2023.2267644

Hongshuai Dai, Yanhua Wu

引用次数: 0

On age composition of dynamic heterogeneous populations 动态异质种群的年龄构成

4区数学

Stochastic Models Pub Date : 2023-10-19 DOI: 10.1080/15326349.2023.2263538

Ji Hwan Cha, Maxim Finkelstein

{"title":"On age composition of dynamic heterogeneous populations","authors":"Ji Hwan Cha, Maxim Finkelstein","doi":"10.1080/15326349.2023.2263538","DOIUrl":"https://doi.org/10.1080/15326349.2023.2263538","url":null,"abstract":"Abstract.Populations of items continuously manufactured and incepted into operation are characterized by the corresponding distribution of a random age at each instant of chronological time. In this study, we consider heterogeneous populations with lifetime distributions indexed by a frailty parameter. Two approaches to defining the age composition for the described populations are described and the corresponding stochastic comparisons are considered.Keywords: Age compositionfrailtyheterogeneous populationsproduction ratestochastic comparisons2010 Mathematics Subject Classification:: 60H3 AcknowledgmentsThe authors greatly thank the reviewers for their helpful comments and advice, which have improved the presentation of this paper.Disclosure statementNo potential conflict of interest was reported by the authorsAdditional informationFundingThe work of the first author was supported by Basic Science Research Program through the National Research Foundation of Korea (NRF) funded by the Ministry of Education (Grant Number: 2019R1A6A1A11051177). The work of the first author was also supported by the National Research Foundation of Korea (NRF) grant funded by the Korea government (MSIP) (No. 2023R1A2C1003238).","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135730079","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

Synchronization and fluctuations for interacting stochastic systems with individual and collective reinforcement 具有个体和集体强化的相互作用随机系统的同步和波动

4区数学

Stochastic Models Pub Date : 2023-10-17 DOI: 10.1080/15326349.2023.2267663

Pierre-Yves Louis, Meghdad Mirebrahimi

{"title":"Synchronization and fluctuations for interacting stochastic systems with individual and collective reinforcement","authors":"Pierre-Yves Louis, Meghdad Mirebrahimi","doi":"10.1080/15326349.2023.2267663","DOIUrl":"https://doi.org/10.1080/15326349.2023.2267663","url":null,"abstract":"AbstractThe Pólya urn is the most representative example of a reinforced stochastic process. It leads to a random (non degenerated) time-limit. The Friedman urn is a natural generalization whose almost sure (a.s.) time-limit is not random any more. In this work, in the stream of previous recent works, we introduce a new family of (finite size) systems of reinforced stochastic processes, interacting through an additional collective reinforcement of mean field type. The two reinforcement rules strengths (one component-wise, one collective) are tuned through (possibly) two different rates. In special cases, these reinforcements are of Pólya or Friedman type as in urn contexts and may thus lead to limits which may be random or not. Different parameter regimes need to be considered. We state two kind of results. First, we study the time-asymptotic and show that L2 and a.s. convergence always holds. Moreover, all the components share the same time-limit (so called synchronization phenomenon). We study the nature of the limit (random/deterministic) according to the parameters’ regime considered. Second, we study fluctuations by proving central limit theorems. Scaling coefficients vary according to the regime considered. This gives insights into many different rates of convergence. In particular, we identify the regimes where synchronization is faster than convergence toward the shared time-limit.Keywords: Almost sure convergencecentral limit theoremsfluctuationsinteracting random systemsreinforced stochastic processesstable convergencesynchronization2010 Mathematics Subject Classification: Primary 60K35Primary 60F1560F05Secondary 62L20Secondary 62P35 AcknowledgmentsI would like to thank Professor Pierre-Yves Louis for introducing me to the problem and for all the useful comments and discussions. I am also very grateful for extremely constructive feedback from the referee.Disclosure statementNo potential conflict of interest was reported by the author(s).","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":"71 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135944106","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: 3