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Lp-minimal solutions of BDSDEs with left continuous and stochastic linear growth coefficients and p∈(1,2) 左连续随机线性增长系数且p∈(1,2)的BDSDEs的lp -极小解
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2025-04-17 DOI: 10.1016/j.spl.2025.110433
J.M. Owo
{"title":"Lp-minimal solutions of BDSDEs with left continuous and stochastic linear growth coefficients and p∈(1,2)","authors":"J.M. Owo","doi":"10.1016/j.spl.2025.110433","DOIUrl":"10.1016/j.spl.2025.110433","url":null,"abstract":"<div><div>In this work, we investigate backward doubly stochastic differential equations. Via suitable approximations and comparison theorem, we prove the existence of a minimal solution in <span><math><msup><mrow><mi>L</mi></mrow><mrow><mi>p</mi></mrow></msup></math></span> sense, for any <span><math><mrow><mi>p</mi><mo>∈</mo><mrow><mo>(</mo><mn>1</mn><mo>,</mo><mn>2</mn><mo>)</mo></mrow></mrow></math></span>, when the coefficients are left continuous with stochastic linear growth.</div></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":"223 ","pages":"Article 110433"},"PeriodicalIF":0.9,"publicationDate":"2025-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143850586","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
Complete convergence with regularly varying moments and norming constants 具有正则变矩和赋范常数的完全收敛
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2025-04-17 DOI: 10.1016/j.spl.2025.110434
George Stoica , Deli Li
{"title":"Complete convergence with regularly varying moments and norming constants","authors":"George Stoica ,&nbsp;Deli Li","doi":"10.1016/j.spl.2025.110434","DOIUrl":"10.1016/j.spl.2025.110434","url":null,"abstract":"<div><div>We prove an extension of the Heyde–Rohatgi theorem on complete convergence of partial sums of i.i.d. random variables with general regularly varying moments and norming constants.</div></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":"223 ","pages":"Article 110434"},"PeriodicalIF":0.9,"publicationDate":"2025-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143844101","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
Semi-log-convexity of M/M/∞ queues on Z+ Z+上M/M/∞队列的半对数凸性
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2025-04-15 DOI: 10.1016/j.spl.2025.110432
Huige Chen , Huaiqian Li
{"title":"Semi-log-convexity of M/M/∞ queues on Z+","authors":"Huige Chen ,&nbsp;Huaiqian Li","doi":"10.1016/j.spl.2025.110432","DOIUrl":"10.1016/j.spl.2025.110432","url":null,"abstract":"<div><div>We solve the problem left in the recent paper by N. Gozlan et al [Potential Analysis 58, 2023, 123–158], establishing the semi-log-convexity of semigroups associated with <span><math><mrow><mi>M</mi><mo>/</mo><mi>M</mi><mo>/</mo><mi>∞</mi></mrow></math></span> queuing processes on the set of non-negative integers. Our approach is global in nature and yields the sharp constant.</div></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":"223 ","pages":"Article 110432"},"PeriodicalIF":0.9,"publicationDate":"2025-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143838559","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
Variable-selection consistency of linear quantile regression by validation set approach 验证集法的线性分位数回归变量选择一致性
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2025-04-15 DOI: 10.1016/j.spl.2025.110431
Suin Kim, Sarang Lee, Nari Shin, Yoonsuh Jung
{"title":"Variable-selection consistency of linear quantile regression by validation set approach","authors":"Suin Kim,&nbsp;Sarang Lee,&nbsp;Nari Shin,&nbsp;Yoonsuh Jung","doi":"10.1016/j.spl.2025.110431","DOIUrl":"10.1016/j.spl.2025.110431","url":null,"abstract":"<div><div>We consider the problem of variable selection in the quantile regression model by cross-validation. Although cross-validation is commonly used in quantile regression for model selection, its theoretical justification has not yet been verified. In this work, we prove that cross-validation with the check loss function can lead to variable-selection consistency in quantile regression. Specifically, we investigate its asymptotic properties in linear quantile regression and its penalized version under both fixed and diverging number of parameters. For penalized models, penalties with the oracle property combined with cross-validation are shown to provide variable-selection consistency. In general, one of the crucial requirements for this consistency to hold is that the validation set size should be asymptotically equivalent to the total number of observations, which is also required in the conditional mean linear regression.</div></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":"223 ","pages":"Article 110431"},"PeriodicalIF":0.9,"publicationDate":"2025-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143838558","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
Probability solution for time-fractional Fokker–Planck–Kolmogorov equations with time–space-dependent Lévy measure 具有时空相关lsamvy测度的时间分数Fokker-Planck-Kolmogorov方程的概率解
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2025-04-12 DOI: 10.1016/j.spl.2025.110427
Siyan Xu , Huiyan Zhao
{"title":"Probability solution for time-fractional Fokker–Planck–Kolmogorov equations with time–space-dependent Lévy measure","authors":"Siyan Xu ,&nbsp;Huiyan Zhao","doi":"10.1016/j.spl.2025.110427","DOIUrl":"10.1016/j.spl.2025.110427","url":null,"abstract":"<div><div>In this paper, we consider a class of generalized time-fractional Fokker–Planck–Kolmogorov equations with time–space-dependent Lévy measures, where time–space-dependent Lévy measures contain stable-like Lévy measures as special examples. After that, probability solutions are constructed for such Fokker–Planck–Kolmogorov equations based on the correspondence between the time–space-dependent Lévy measure and its related SDE.</div></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":"223 ","pages":"Article 110427"},"PeriodicalIF":0.9,"publicationDate":"2025-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143826482","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 forward–backward stochastic differential equations driven by G-Brownian motion 由g -布朗运动驱动的平均场正反向随机微分方程
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2025-04-12 DOI: 10.1016/j.spl.2025.110429
Shengqiu Sun
{"title":"Mean-field forward–backward stochastic differential equations driven by G-Brownian motion","authors":"Shengqiu Sun","doi":"10.1016/j.spl.2025.110429","DOIUrl":"10.1016/j.spl.2025.110429","url":null,"abstract":"<div><div>In this paper, we consider the mean-field forward–backward stochastic differential equations driven by <span><math><mi>G</mi></math></span>-Brownian motion with Lipschitz coefficients. The existence and uniqueness of solution on small time duration can be obtained by contraction mapping principle and some a prior estimates.</div></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":"223 ","pages":"Article 110429"},"PeriodicalIF":0.9,"publicationDate":"2025-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143829256","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
Comparison results of range-based quantities in the classical risk models 经典风险模型中基于区间数量的比较结果
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2025-04-11 DOI: 10.1016/j.spl.2025.110428
Mohamed Amine Lkabous, Mengni Yang
{"title":"Comparison results of range-based quantities in the classical risk models","authors":"Mohamed Amine Lkabous,&nbsp;Mengni Yang","doi":"10.1016/j.spl.2025.110428","DOIUrl":"10.1016/j.spl.2025.110428","url":null,"abstract":"<div><div>In this paper, we investigate the range-based risk quantities in classical risk models. Specifically, we present some comparison results with respect to the stochastic ordering. We also propose some range-based VaR-type risk measures and study their properties, providing insights into their practical applications and implications for risk management.</div></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":"223 ","pages":"Article 110428"},"PeriodicalIF":0.9,"publicationDate":"2025-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143844100","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
Large sample properties of modified maximum likelihood estimator of the location parameter using moving extremes ranked set sampling 基于移动极值排序集抽样的位置参数修正极大似然估计的大样本性质
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2025-04-11 DOI: 10.1016/j.spl.2025.110430
Han Wang, Wangxue Chen
{"title":"Large sample properties of modified maximum likelihood estimator of the location parameter using moving extremes ranked set sampling","authors":"Han Wang,&nbsp;Wangxue Chen","doi":"10.1016/j.spl.2025.110430","DOIUrl":"10.1016/j.spl.2025.110430","url":null,"abstract":"<div><div>The maximum likelihood estimator (MLE) obtained using moving extremes ranked set sampling (MERSS) typically does not have a closed form expression. In this study, we investigate a modified MLE (MMLE) utilizing MERSS for estimating the location parameter of a location family and analyze its properties in large samples. We derive the explicit form of the MMLE for two common distributions when MERSS is employed. The numerical results from two usual distributions indicate that the MMLE using MERSS is more efficient than that the MLE using simple random sampling with an equivalent sample size. The numerical results also indicate the loss of efficiency in using the MMLE under MERSS instead of the MLE under MERSS is very small for small values of <span><math><mi>m</mi></math></span>. Additionally, we examine the implications of imperfect ranking and demonstrate our approach using a real dataset.</div></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":"223 ","pages":"Article 110430"},"PeriodicalIF":0.9,"publicationDate":"2025-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143834793","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 note on the maximum probability of ultra log-concave distributions 关于超对数凹分布的最大概率的注释
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2025-04-10 DOI: 10.1016/j.spl.2025.110418
Heshan Aravinda
{"title":"A note on the maximum probability of ultra log-concave distributions","authors":"Heshan Aravinda","doi":"10.1016/j.spl.2025.110418","DOIUrl":"10.1016/j.spl.2025.110418","url":null,"abstract":"<div><div>Jakimiuk et al. (2024) have proved that, if <span><math><mi>X</mi></math></span> is an ultra log-concave random variable with integral mean, then <span><math><mrow><munder><mrow><mo>max</mo></mrow><mrow><mi>n</mi></mrow></munder><mi>P</mi><mrow><mo>{</mo><mi>X</mi><mo>=</mo><mi>n</mi><mo>}</mo></mrow><mo>≥</mo><munder><mrow><mo>max</mo></mrow><mrow><mi>n</mi></mrow></munder><mi>P</mi><mrow><mo>{</mo><mi>Z</mi><mo>=</mo><mi>n</mi><mo>}</mo></mrow><mo>,</mo><mspace></mspace></mrow></math></span> where <span><math><mi>Z</mi></math></span> is a Poisson random variable with the parameter <span><math><mrow><mi>E</mi><mrow><mo>[</mo><mi>X</mi><mo>]</mo></mrow></mrow></math></span>. In this note, we show that this inequality does not always hold true when <span><math><mi>X</mi></math></span> is ultra log-concave with <span><math><mrow><mi>E</mi><mrow><mo>[</mo><mi>X</mi><mo>]</mo></mrow><mo>&gt;</mo><mn>1</mn></mrow></math></span>.</div></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":"223 ","pages":"Article 110418"},"PeriodicalIF":0.9,"publicationDate":"2025-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143823885","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 reflected backward stochastic differential equations with jumps in a convex domain 均值反映了凸域中具有跳跃的后向随机微分方程
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2025-04-10 DOI: 10.1016/j.spl.2025.110426
Hongchao Qian
{"title":"Mean reflected backward stochastic differential equations with jumps in a convex domain","authors":"Hongchao Qian","doi":"10.1016/j.spl.2025.110426","DOIUrl":"10.1016/j.spl.2025.110426","url":null,"abstract":"<div><div>In this paper, we study a class of multi-dimensional mean reflected backward stochastic differential equations driven by a Brownian motion and an independent Poisson random measure. In our setting, the constraint depends on the law of the solution rather than on its paths. Specifically, the expectation of the solution takes values in a convex domain in <span><math><msup><mrow><mi>R</mi></mrow><mrow><mi>n</mi></mrow></msup></math></span>. The existence and uniqueness of solutions are established by a penalization method.</div></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":"223 ","pages":"Article 110426"},"PeriodicalIF":0.9,"publicationDate":"2025-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143815702","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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