107 research outputs found
Tail estimation of the stable index α
AbstractA refined tail-estimation procedure for measuring the index of stability of stable Paretian or α-stable distributions is proposed. The estimator is more suitable for α-stable laws than the widely used estimator proposed in [1]
Structural results on convexity relative to cost functions
Mass transportation problems appear in various areas of mathematics, their
solutions involving cost convex potentials. Fenchel duality also represents an
important concept for a wide variety of optimization problems, both from the
theoretical and the computational viewpoints. We drew a parallel to the
classical theory of convex functions by investigating the cost convexity and
its connections with the usual convexity. We give a generalization of Jensen's
inequality for cost convex functions.Comment: 10 page
Evolutionary multi-stage financial scenario tree generation
Multi-stage financial decision optimization under uncertainty depends on a
careful numerical approximation of the underlying stochastic process, which
describes the future returns of the selected assets or asset categories.
Various approaches towards an optimal generation of discrete-time,
discrete-state approximations (represented as scenario trees) have been
suggested in the literature. In this paper, a new evolutionary algorithm to
create scenario trees for multi-stage financial optimization models will be
presented. Numerical results and implementation details conclude the paper
Polymorphic evolution sequence and evolutionary branching
We are interested in the study of models describing the evolution of a
polymorphic population with mutation and selection in the specific scales of
the biological framework of adaptive dynamics. The population size is assumed
to be large and the mutation rate small. We prove that under a good combination
of these two scales, the population process is approximated in the long time
scale of mutations by a Markov pure jump process describing the successive
trait equilibria of the population. This process, which generalizes the
so-called trait substitution sequence, is called polymorphic evolution
sequence. Then we introduce a scaling of the size of mutations and we study the
polymorphic evolution sequence in the limit of small mutations. From this study
in the neighborhood of evolutionary singularities, we obtain a full
mathematical justification of a heuristic criterion for the phenomenon of
evolutionary branching. To this end we finely analyze the asymptotic behavior
of 3-dimensional competitive Lotka-Volterra systems
Kinetic models with randomly perturbed binary collisions
We introduce a class of Kac-like kinetic equations on the real line, with
general random collisional rules, which include as particular cases models for
wealth redistribution in an agent-based market or models for granular gases
with a background heat bath. Conditions on these collisional rules which
guarantee both the existence and uniqueness of equilibrium profiles and their
main properties are found. We show that the characterization of these
stationary solutions is of independent interest, since the same profiles are
shown to be solutions of different evolution problems, both in the econophysics
context and in the kinetic theory of rarefied gases
Probabilistic study of the speed of approach to equilibrium for an inelastic Kac model
This paper deals with a one--dimensional model for granular materials, which
boils down to an inelastic version of the Kac kinetic equation, with
inelasticity parameter . In particular, the paper provides bounds for
certain distances -- such as specific weighted --distances and the
Kolmogorov distance -- between the solution of that equation and the limit. It
is assumed that the even part of the initial datum (which determines the
asymptotic properties of the solution) belongs to the domain of normal
attraction of a symmetric stable distribution with characteristic exponent
\a=2/(1+p). With such initial data, it turns out that the limit exists and is
just the aforementioned stable distribution. A necessary condition for the
relaxation to equilibrium is also proved. Some bounds are obtained without
introducing any extra--condition. Sharper bounds, of an exponential type, are
exhibited in the presence of additional assumptions concerning either the
behaviour, near to the origin, of the initial characteristic function, or the
behaviour, at infinity, of the initial probability distribution function
Continuity theorems for the queueing system
In this paper continuity theorems are established for the number of losses
during a busy period of the queue. We consider an queueing
system where the service time probability distribution, slightly different in a
certain sense from the exponential distribution, is approximated by that
exponential distribution. Continuity theorems are obtained in the form of one
or two-sided stochastic inequalities. The paper shows how the bounds of these
inequalities are changed if further assumptions, associated with specific
properties of the service time distribution (precisely described in the paper),
are made. Specifically, some parametric families of service time distributions
are discussed, and the paper establishes uniform estimates (given for all
possible values of the parameter) and local estimates (where the parameter is
fixed and takes only the given value). The analysis of the paper is based on
the level crossing approach and some characterization properties of the
exponential distribution.Comment: Final revision; will be published as i
A new ideal metric with applications to stable limit theorems, summability methods and compound poisson approximation
SIGLEAvailable from TIB Hannover: RO 7057(1991,6) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekDEGerman
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