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Stochastic Models最新文献

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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
Stochastic Models Pub Date : 2023-10-11 DOI: 10.1080/15326349.2023.2253278
Liangxue Li, Xuejun Wang, Chen Yi
{"title":"Complete <i>f</i> -moment convergence for a class of random variables with related statistical applications","authors":"Liangxue Li, Xuejun Wang, Chen Yi","doi":"10.1080/15326349.2023.2253278","DOIUrl":"https://doi.org/10.1080/15326349.2023.2253278","url":null,"abstract":"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).","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":"85 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136097651","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
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
Stochastic Models Pub Date : 2023-09-22 DOI: 10.1080/15326349.2023.2256825
Arnaud Rousselle, Ercan Sönmez
{"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
Stochastic Models Pub Date : 2023-09-08 DOI: 10.1080/15326349.2023.2250432
Ying Wang, Guanggan Chen, Pingping Wang
{"title":"Moderate deviations for stochastic Cahn-Hilliard equations with a random dynamical boundary driven by Poisson random measures","authors":"Ying Wang, Guanggan Chen, Pingping Wang","doi":"10.1080/15326349.2023.2250432","DOIUrl":"https://doi.org/10.1080/15326349.2023.2250432","url":null,"abstract":"","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45878050","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
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
Stochastic Models Pub Date : 2023-09-08 DOI: 10.1080/15326349.2023.2253289
A. Mészáros, M. Telek
{"title":"Moments based matrix representation of Markov and rational arrival processes with reduced rank marginal","authors":"A. Mészáros, M. Telek","doi":"10.1080/15326349.2023.2253289","DOIUrl":"https://doi.org/10.1080/15326349.2023.2253289","url":null,"abstract":"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.","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44597413","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
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
Stochastic Models Pub Date : 2023-09-04 DOI: 10.1080/15326349.2023.2250418
Samira Ghanbarian, Ravi R. Mazumdar
{"title":"Mean-field fluctuations at diffusion scale in threshold-based randomized routing for processor sharing systems and applications","authors":"Samira Ghanbarian, Ravi R. Mazumdar","doi":"10.1080/15326349.2023.2250418","DOIUrl":"https://doi.org/10.1080/15326349.2023.2250418","url":null,"abstract":"","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42277820","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
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
Stochastic Models Pub Date : 2023-08-10 DOI: 10.1080/15326349.2023.2241071
Xulan Huang
{"title":"Quenched weighted moments for a branching process with immigration in a random environment","authors":"Xulan Huang","doi":"10.1080/15326349.2023.2241071","DOIUrl":"https://doi.org/10.1080/15326349.2023.2241071","url":null,"abstract":"","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46655374","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
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
Stochastic Models Pub Date : 2023-08-09 DOI: 10.1080/15326349.2023.2241070
Abdenbi El Azri, Nafidi Ahmed
{"title":"A stochastic log-logistic diffusion process: Statistical computational aspects and application to real data","authors":"Abdenbi El Azri, Nafidi Ahmed","doi":"10.1080/15326349.2023.2241070","DOIUrl":"https://doi.org/10.1080/15326349.2023.2241070","url":null,"abstract":"","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47274507","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
Gambler’s ruin with random stopping 赌徒的毁灭与随机停止
IF 0.7 4区 数学
Stochastic Models Pub Date : 2023-08-03 DOI: 10.1080/15326349.2023.2241066
G. J. Morrow
{"title":"Gambler’s ruin with random stopping","authors":"G. J. Morrow","doi":"10.1080/15326349.2023.2241066","DOIUrl":"https://doi.org/10.1080/15326349.2023.2241066","url":null,"abstract":". 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","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42748208","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
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
Stochastic Models Pub Date : 2023-07-07 DOI: 10.1080/15326349.2023.2222463
Haoran Wu, Qi-Ming He
{"title":"Optimizing Erlangization-based approximations for finite discrete distributions and discrete phase-type distributions","authors":"Haoran Wu, Qi-Ming He","doi":"10.1080/15326349.2023.2222463","DOIUrl":"https://doi.org/10.1080/15326349.2023.2222463","url":null,"abstract":"","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47635791","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
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
Stochastic Models Pub Date : 2023-07-07 DOI: 10.1080/15326349.2023.2221822
Yumo Zhang
{"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":"<p><b>Abstract</b></p><p>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.</p>","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
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