Stochastic Analysis and Applications最新文献

{"title":"Total variation distance and compound poisson approximations for random sums","authors":"Stathis Chadjiconstantinidis","doi":"10.1080/07362994.2024.2321348","DOIUrl":"https://doi.org/10.1080/07362994.2024.2321348","url":null,"abstract":"We derive new upper bounds for the total variation distance between compound Poisson distributions as well as between a random sum and a compound Poisson distribution, and as a result we also obtai...","PeriodicalId":49474,"journal":{"name":"Stochastic Analysis and Applications","volume":"12 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140075965","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}

{"title":"On initial-boundary value problem of the stochastic Navier–Stokes equations in the half space","authors":"Tongkeun Chang, Minsuk Yang","doi":"10.1080/07362994.2024.2315149","DOIUrl":"https://doi.org/10.1080/07362994.2024.2315149","url":null,"abstract":"We study the initial-boundary value problem of the stochastic Navier–Stokes equations in half-space. We prove the existence of weak solutions in standard Besov space-valued random processes when th...","PeriodicalId":49474,"journal":{"name":"Stochastic Analysis and Applications","volume":"90 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139969515","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}

{"title":"On analysis of complex administrative data: neural networks, modelling and prediction","authors":"Ronald Ecklmair, Claudia Ibacache-Quirogab, M. Alejandro Dinamarcab, Jozef Kiseľák, Bastián Eduardo Barraza, Milan Stehlík","doi":"10.1080/07362994.2023.2295248","DOIUrl":"https://doi.org/10.1080/07362994.2023.2295248","url":null,"abstract":"Eco-geographical heterogenicity of countries such as Chile and in cities exhibiting a territorial and demographic important diversity is relevant for the epidemiological studies of the apparition a...","PeriodicalId":49474,"journal":{"name":"Stochastic Analysis and Applications","volume":"465 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139577963","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}

{"title":"Schauder estimates for stationary and evolution equations associated to stochastic reaction-diffusion equations driven by colored noise","authors":"Davide A. Bignamini, Simone Ferrari","doi":"10.1080/07362994.2024.2303099","DOIUrl":"https://doi.org/10.1080/07362994.2024.2303099","url":null,"abstract":"We consider stochastic reaction-diffusion equations with colored noise on the space of real-valued and continuous functions on a compact subset of ℝd for d=1,2,3. We prove Schauder-type estimates, ...","PeriodicalId":49474,"journal":{"name":"Stochastic Analysis and Applications","volume":"250 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139463049","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}

{"title":"Locally risk minimizing pricing of Asian option in a semi-Markov modulated market","authors":"Bihan Chatterjee, Anindya Goswami, Ludger Overbeck","doi":"10.1080/07362994.2023.2295246","DOIUrl":"https://doi.org/10.1080/07362994.2023.2295246","url":null,"abstract":"We consider a regime-switching model where the stock volatility dynamics is a semi-Markov process. Under this model assumption, we find the locally risk-minimizing price of some Asian options with ...","PeriodicalId":49474,"journal":{"name":"Stochastic Analysis and Applications","volume":"77 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-01-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139414855","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}

{"title":"A representation theorem for set-valued submartingales","authors":"Luc T. Tuyen, Vu T. Luan","doi":"10.1080/07362994.2023.2296528","DOIUrl":"https://doi.org/10.1080/07362994.2023.2296528","url":null,"abstract":"The integral representation theorem for martingales has been widely used in probability theory. In this work, we propose and prove a general representation theorem for a class of set-valued submart...","PeriodicalId":49474,"journal":{"name":"Stochastic Analysis and Applications","volume":"65 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2023-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139068346","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}

{"title":"Exponential synchronization of 2D cellular neural networks with boundary feedback","authors":"Leslaw Skrzypek, Chi Phan, Yuncheng You","doi":"10.1080/07362994.2023.2260871","DOIUrl":"https://doi.org/10.1080/07362994.2023.2260871","url":null,"abstract":"In this work we propose a new model of 2D cellular neural networks (CNN) in terms of the lattice FitzHugh-Nagumo equations with boundary feedback and prove a threshold condition for the exponential synchronization of the entire neural network through the emph{a priori} uniform estimates of solutions and the analysis of dissipative dynamics. The threshold to be satisfied by the gap signals between pairwise boundary cells of the network is expressed by the structural parameters and adjustable. The new result and method of this paper can also be generalized to 3D and higher dimensional FitzHugh-Nagumo type or Hindmarsh-Rose type cellular neural networks.","PeriodicalId":49474,"journal":{"name":"Stochastic Analysis and Applications","volume":" 15","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135292816","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}

{"title":"Stable distributions and pseudo-processes related to fractional Airy functions","authors":"Manfred Marvin Marchione, Enzo Orsingher","doi":"10.1080/07362994.2023.2274108","DOIUrl":"https://doi.org/10.1080/07362994.2023.2274108","url":null,"abstract":"In this paper we study pseudo-processes related to odd-order heat-type equations composed with L'evy stable subordinators. The aim of the article is twofold. We first show that the pseudo-density of the subordinated pseudo-process can be represented as an expectation of damped oscillations with generalized gamma distributed parameters. This stochastic representation also arises as the solution to a fractional diffusion equation, involving a higher-order Riesz-Feller operator, which generalizes the odd-order heat-type equation. We then prove that, if the stable subordinator has a suitable exponent, the time-changed pseudo-process becomes a genuine L'evy stable process. This result permits us to obtain a power series representation for the probability density function of an arbitrary asymmetric stable process of exponent $nu>1$ and skewness parameter $beta$, with $0<lvertbetalvert<1$. The methods we use in order to carry out our analysis are based on the study of a fractional Airy function which emerges in the investigation of the higher-order Riesz-Feller operator.","PeriodicalId":49474,"journal":{"name":"Stochastic Analysis and Applications","volume":"18 10","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136157826","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}

{"title":"<i>L</i> ² 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":"26 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":"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}

{"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":"45 1","pages":"0"},"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}