发布求助
文献互助 智能选刊 最新文献

Journal of Applied Probability最新文献

筛选
英文 中文
Phase transition for the generalized two-community stochastic block model 广义两群体随机块体模型的相变
IF 1 4区 数学
Journal of Applied Probability Pub Date : 2023-07-31 DOI: 10.1017/jpr.2023.44
Sunmin Lee, J. Lee
{"title":"Phase transition for the generalized two-community stochastic block model","authors":"Sunmin Lee, J. Lee","doi":"10.1017/jpr.2023.44","DOIUrl":"https://doi.org/10.1017/jpr.2023.44","url":null,"abstract":"\u0000 We study the problem of detecting the community structure from the generalized stochastic block model with two communities (G2-SBM). Based on analysis of the Stieljtes transform of the empirical spectral distribution, we prove a Baik–Ben Arous–Péché (BBP)-type transition for the largest eigenvalue of the G2-SBM. For specific models, such as a hidden community model and an unbalanced stochastic block model, we provide precise formulas for the two largest eigenvalues, establishing the gap in the BBP-type transition.","PeriodicalId":50256,"journal":{"name":"Journal of Applied Probability","volume":"1 1","pages":""},"PeriodicalIF":1.0,"publicationDate":"2023-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42081494","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
Characterization of the optimal average cost in Markov decision chains driven by a risk-seeking controller 由风险寻求控制器驱动的马尔可夫决策链的最优平均成本表征
IF 1 4区 数学
Journal of Applied Probability Pub Date : 2023-07-21 DOI: 10.1017/jpr.2023.40
R. Cavazos-Cadena, H. Cruz-Suárez, Raúl Montes-de-Oca
{"title":"Characterization of the optimal average cost in Markov decision chains driven by a risk-seeking controller","authors":"R. Cavazos-Cadena, H. Cruz-Suárez, Raúl Montes-de-Oca","doi":"10.1017/jpr.2023.40","DOIUrl":"https://doi.org/10.1017/jpr.2023.40","url":null,"abstract":"\u0000 This work concerns Markov decision chains on a denumerable state space endowed with a bounded cost function. The performance of a control policy is assessed by a long-run average criterion as measured by a risk-seeking decision maker with constant risk-sensitivity. Besides standard continuity–compactness conditions, the framework of the paper is determined by the following conditions: (i) the state process is communicating under each stationary policy, and (ii) the simultaneous Doeblin condition holds. Within this framework it is shown that (i) the optimal superior and inferior limit average value functions coincide and are constant, and (ii) the optimal average cost is characterized via an extended version of the Collatz–Wielandt formula in the theory of positive matrices.","PeriodicalId":50256,"journal":{"name":"Journal of Applied Probability","volume":" ","pages":""},"PeriodicalIF":1.0,"publicationDate":"2023-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49013363","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
An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion 软扼杀Brownian运动逆第一通过时间问题的一种初等解法
IF 1 4区 数学
Journal of Applied Probability Pub Date : 2023-07-04 DOI: 10.1017/jpr.2023.39
Alexander Klump, Martin Kolb
{"title":"An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion","authors":"Alexander Klump, Martin Kolb","doi":"10.1017/jpr.2023.39","DOIUrl":"https://doi.org/10.1017/jpr.2023.39","url":null,"abstract":"\u0000 We prove existence and uniqueness for the inverse-first-passage time problem for soft-killed Brownian motion using rather elementary methods relying on basic results from probability theory only. We completely avoid the relation to a suitable partial differential equation via a suitable Feynman–Kac representation, which was previously one of the main tools.","PeriodicalId":50256,"journal":{"name":"Journal of Applied Probability","volume":" ","pages":""},"PeriodicalIF":1.0,"publicationDate":"2023-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43098605","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
Monotonicity of implied volatility for perpetual put options 永久看跌期权隐含波动性的单调性
IF 1 4区 数学
Journal of Applied Probability Pub Date : 2023-06-19 DOI: 10.1017/jpr.2023.36
Erik Ekström, Ebba Mellquist
{"title":"Monotonicity of implied volatility for perpetual put options","authors":"Erik Ekström, Ebba Mellquist","doi":"10.1017/jpr.2023.36","DOIUrl":"https://doi.org/10.1017/jpr.2023.36","url":null,"abstract":"\u0000 We define and study properties of implied volatility for American perpetual put options. In particular, we show that if the market prices are derived from a local volatility model with a monotone volatility function, then the corresponding implied volatility is also monotone as a function of the strike price.","PeriodicalId":50256,"journal":{"name":"Journal of Applied Probability","volume":" ","pages":""},"PeriodicalIF":1.0,"publicationDate":"2023-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45725494","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
On Relevation redundancy to coherent systems at component and system levels 在组件和系统级别上相干系统的关联冗余
IF 1 4区 数学
Journal of Applied Probability Pub Date : 2023-06-09 DOI: 10.1017/jpr.2023.31
Chen Li, Xiaohui Li
{"title":"On Relevation redundancy to coherent systems at component and system levels","authors":"Chen Li, Xiaohui Li","doi":"10.1017/jpr.2023.31","DOIUrl":"https://doi.org/10.1017/jpr.2023.31","url":null,"abstract":"\u0000 Recently, the relevation transformation has received further attention from researchers, and some interesting results have been developed. It is well known that the active redundancy at component level results in a more reliable coherent system than that at system level. However, the lack of study of this problem with relevation redundancy prevents us from fully understanding such a generalization of the active redundancy. In this note we deal with relevation redundancy to coherent systems of homogeneous components. Typically, for a series system of independent components, we have proved that the lifetime of a system with relevation redundancy at component level is larger than that with relevation redundancy at system level in the sense of the usual stochastic order and the likelihood ratio order, respectively. For a coherent system with dependent components, we have developed a sufficient condition in terms of the domination function to the usual stochastic order between the system lifetime with redundancy at component level and that at system level.","PeriodicalId":50256,"journal":{"name":"Journal of Applied Probability","volume":" ","pages":""},"PeriodicalIF":1.0,"publicationDate":"2023-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44253639","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
Tail variance allocation, Shapley value, and the majorization problem 尾方差分配、Shapley值和优化问题
IF 1 4区 数学
Journal of Applied Probability Pub Date : 2023-06-06 DOI: 10.1017/jpr.2023.28
M. Galeotti, Giovanni Rabitti
{"title":"Tail variance allocation, Shapley value, and the majorization problem","authors":"M. Galeotti, Giovanni Rabitti","doi":"10.1017/jpr.2023.28","DOIUrl":"https://doi.org/10.1017/jpr.2023.28","url":null,"abstract":"\u0000 With a focus on the risk contribution in a portofolio of dependent risks, Colini-Baldeschi et al. (2018) introduced Shapley values for variance and standard deviation games. In this note we extend their results, introducing tail variance as well as tail standard deviation games. We derive closed-form expressions for the Shapley values for the tail variance game and we analyze the vector majorization problem for the two games. In particular, we construct two examples showing that the risk contribution rankings for the two games may be inverted depending on the conditioning threshold and the tail fatness. Motivated by these examples, we formulate a conjecture for general portfolios. Lastly, we discuss risk management implications, including the characterization of tail covariance premiums and reinsurance pricing for peer-to-peer insurance policies.","PeriodicalId":50256,"journal":{"name":"Journal of Applied Probability","volume":" ","pages":""},"PeriodicalIF":1.0,"publicationDate":"2023-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44249245","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
Moderate deviations inequalities for Gaussian process regression 高斯过程回归的中偏差不等式
IF 1 4区 数学
Journal of Applied Probability Pub Date : 2023-06-05 DOI: 10.1017/jpr.2023.30
Jialin Li, I. Ryzhov
{"title":"Moderate deviations inequalities for Gaussian process regression","authors":"Jialin Li, I. Ryzhov","doi":"10.1017/jpr.2023.30","DOIUrl":"https://doi.org/10.1017/jpr.2023.30","url":null,"abstract":"\u0000 Gaussian process regression is widely used to model an unknown function on a continuous domain by interpolating a discrete set of observed design points. We develop a theoretical framework for proving new moderate deviations inequalities on different types of error probabilities that arise in GP regression. Two specific examples of broad interest are the probability of falsely ordering pairs of points (incorrectly estimating one point as being better than another) and the tail probability of the estimation error at an arbitrary point. Our inequalities connect these probabilities to the mesh norm, which measures how well the design points fill the space.","PeriodicalId":50256,"journal":{"name":"Journal of Applied Probability","volume":" ","pages":""},"PeriodicalIF":1.0,"publicationDate":"2023-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47773949","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
Extropy: Characterizations and dynamic versions Extopy:特征化和动态版本
IF 1 4区 数学
Journal of Applied Probability Pub Date : 2023-06-02 DOI: 10.1017/jpr.2023.7
A. Toomaj, M. Hashempour, N. Balakrishnan
{"title":"Extropy: Characterizations and dynamic versions","authors":"A. Toomaj, M. Hashempour, N. Balakrishnan","doi":"10.1017/jpr.2023.7","DOIUrl":"https://doi.org/10.1017/jpr.2023.7","url":null,"abstract":"\u0000 Several information measures have been proposed and studied in the literature. One such measure is extropy, a complementary dual function of entropy. Its meaning and related aging notions have not yet been studied in great detail. In this paper, we first illustrate that extropy information ranks the uniformity of a wide array of absolutely continuous families. We then discuss several theoretical merits of extropy. We also provide a closed-form expression of it for finite mixture distributions. Finally, the dynamic versions of extropy are also discussed, specifically the residual extropy and past extropy measures.","PeriodicalId":50256,"journal":{"name":"Journal of Applied Probability","volume":" ","pages":""},"PeriodicalIF":1.0,"publicationDate":"2023-06-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44805331","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: 2
A first-passage-place problem for integrated diffusion processes 积分扩散过程的一个首次通过位置问题
IF 1 4区 数学
Journal of Applied Probability Pub Date : 2023-05-22 DOI: 10.1017/jpr.2023.19
M. Lefebvre
{"title":"A first-passage-place problem for integrated diffusion processes","authors":"M. Lefebvre","doi":"10.1017/jpr.2023.19","DOIUrl":"https://doi.org/10.1017/jpr.2023.19","url":null,"abstract":"\u0000 Let \u0000 \u0000 \u0000 \u0000${mathrm{d}} X(t) = -Y(t) , {mathrm{d}} t$\u0000\u0000 \u0000 , where Y(t) is a one-dimensional diffusion process, and let \u0000 \u0000 \u0000 \u0000$tau(x,y)$\u0000\u0000 \u0000 be the first time the process (X(t), Y(t)), starting from (x, y), leaves a subset of the first quadrant. The problem of computing the probability \u0000 \u0000 \u0000 \u0000$p(x,y),:!=, mathbb{P}[X(tau(x,y))=0]$\u0000\u0000 \u0000 is considered. The Laplace transform of the function p(x, y) is obtained in important particular cases, and it is shown that the transform can at least be inverted numerically. Explicit expressions for the Laplace transform of \u0000 \u0000 \u0000 \u0000$mathbb{E}[tau(x,y)]$\u0000\u0000 \u0000 and of the moment-generating function of \u0000 \u0000 \u0000 \u0000$tau(x,y)$\u0000\u0000 \u0000 can also be derived.","PeriodicalId":50256,"journal":{"name":"Journal of Applied Probability","volume":" ","pages":""},"PeriodicalIF":1.0,"publicationDate":"2023-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49524857","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
Averaging for slow–fast piecewise deterministic Markov processes with an attractive boundary 具有吸引边界的慢速-快速分段确定性Markov过程的平均
IF 1 4区 数学
Journal of Applied Probability Pub Date : 2023-05-19 DOI: 10.1017/jpr.2023.8
A. Genadot
{"title":"Averaging for slow–fast piecewise deterministic Markov processes with an attractive boundary","authors":"A. Genadot","doi":"10.1017/jpr.2023.8","DOIUrl":"https://doi.org/10.1017/jpr.2023.8","url":null,"abstract":"\u0000 In this paper we consider the problem of averaging for a class of piecewise deterministic Markov processes (PDMPs) whose dynamic is constrained by the presence of a boundary. On reaching the boundary, the process is forced to jump away from it. We assume that this boundary is attractive for the process in question in the sense that its averaged flow is not tangent to it. Our averaging result relies strongly on the existence of densities for the process, allowing us to study the average number of crossings of a smooth hypersurface by an unconstrained PDMP and to deduce from this study averaging results for constrained PDMPs.","PeriodicalId":50256,"journal":{"name":"Journal of Applied Probability","volume":" ","pages":""},"PeriodicalIF":1.0,"publicationDate":"2023-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44181111","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
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信