Importance sampling of heavy-tailed iterated random functions

We consider a stochastic recurrence equation of the form $Z_{n+1} = A_{n+1} Z_n+B_{n+1}$, where $\mathbb{E}[\log A_1]<0$, $\mathbb{E}[\log^+ B_1]<\infty$ and $\{(A_n,B_n)\}_{n\in\mathbb{N}}$ is an i.i.d. sequence of positive random vectors. The stationary distribution of this Markov chain can be represented as the distribution of the random variable $Z \triangleq \sum_{n=0}^\infty B_{n+1}\prod_{k=1}^nA_k$. Such random variables can be found in the analysis of probabilistic algorithms or financial mathematics, where $Z$ would be called a stochastic perpetuity. If one interprets $-\log A_n$ as the interest rate at time $n$, then $Z$ is the present value of a bond that generates $B_n$ unit of money at each time point $n$. We are interested in estimating the probability of the rare event $\{Z>x\}$, when $x$ is large; we provide a consistent simulation estimator using state-dependent importance sampling for the case, where $\log A_1$ is heavy-tailed and the so-called Cram\'{e}r condition is not satisfied. Our algorithm leads to an estimator for $P(Z>x)$. We show that under natural conditions, our estimator is strongly efficient. Furthermore, we extend our method to the case, where $\{Z_n\}_{n\in\mathbb{N}}$ is defined via the recursive formula $Z_{n+1}=\Psi_{n+1}(Z_n)$ and $\{\Psi_n\}_{n\in\mathbb{N}}$ is a sequence of i.i.d. random Lipschitz functions

Dark information of black hole radiation raised by dark energy

The "lost" information of black hole through the Hawking radiation was discovered being stored in the correlation among the non-thermally radiated particles [Phys. Rev. Lett 85, 5042 (2000), Phys. Lett. B 675, 1 (2009)]. This correlation information, which has not yet been proved locally observable in principle, is named by dark information. In this paper, we systematically study the influences of dark energy on black hole radiation, especially on the dark information. Calculating the radiation spectrum in the existence of dark energy by the approach of canonical typicality, which is reconfirmed by the quantum tunneling method, we find that the dark energy will effectively lower the Hawking temperature, and thus makes the black hole has longer life time. It is also discovered that the non-thermal effect of the black hole radiation is enhanced by dark energy so that the dark information of the radiation is increased. Our observation shows that, besides the mechanical effect (e.g., gravitational lensing effect), the dark energy rises the the stored dark information, which could be probed by a non-local coincidence measurement similar to the coincidence counting of the Hanbury-Brown -Twiss experiment in quantum optics.Comment: 21 pages, 3 figures, complete journal-info of Ref.[4] is added, comments are welcome ([email protected]

Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes

We propose a class of strongly efficient rare event simulation estimators for random walks and compound Poisson processes with a regularly varying increment/jump-size distribution in a general large deviations regime. Our estimator is based on an importance sampling strategy that hinges on the heavy-tailed sample path large deviations result recently established in Rhee, Blanchet, and Zwart (2016). The new estimators are straightforward to implement and can be used to systematically evaluate the probability of a wide range of rare events with bounded relative error. They are "universal" in the sense that a single importance sampling scheme applies to a very general class of rare events that arise in heavy-tailed systems. In particular, our estimators can deal with rare events that are caused by multiple big jumps (therefore, beyond the usual principle of a single big jump) as well as multidimensional processes such as the buffer content process of a queueing network. We illustrate the versatility of our approach with several applications that arise in the context of mathematical finance, actuarial science, and queueing theory

Color Filtering Localization for Three-Dimensional Underwater Acoustic Sensor Networks

Accurate localization for mobile nodes has been an important and fundamental problem in underwater acoustic sensor networks (UASNs). The detection information returned from a mobile node is meaningful only if its location is known. In this paper, we propose two localization algorithms based on color filtering technology called PCFL and ACFL. PCFL and ACFL aim at collaboratively accomplishing accurate localization of underwater mobile nodes with minimum energy expenditure. They both adopt the overlapping signal region of task anchors which can communicate with the mobile node directly as the current sampling area. PCFL employs the projected distances between each of the task projections and the mobile node, while ACFL adopts the direct distance between each of the task anchors and the mobile node. Also the proportion factor of distance is proposed to weight the RGB values. By comparing the nearness degrees of the RGB sequences between the samples and the mobile node, samples can be filtered out. And the normalized nearness degrees are considered as the weighted standards to calculate coordinates of the mobile nodes. The simulation results show that the proposed methods have excellent localization performance and can timely localize the mobile node. The average localization error of PCFL can decline by about 30.4% than the AFLA method.Comment: 18 pages, 11 figures, 2 table

On Hadronic Production of the BcB_c Meson

Two of the approaches to the hadronic productions of the double heavy mesons $B_c$ and $B_c^*$ are investigated. Comparison in various aspects on the results obtained by the approaches is made and shown in figures and a table. Some trial understanding of the approaches themselves and the achieved results is presented. The results may be used as some references for discovering the mesons at Tevatron and LHC.Comment: 18 pages, the revised version of hep-ph/940824