In this article, we study a least squares estimator （LSE） of θ for the Ornstein- Uhlenbeck process X0=0,dXt=θXtdt＋dBt^ab, t ≥ 0 driven by weighted fractional Brownian motion B^a,b with parameters a, b. We obtain...In this article, we study a least squares estimator （LSE） of θ for the Ornstein- Uhlenbeck process X0=0,dXt=θXtdt＋dBt^ab, t ≥ 0 driven by weighted fractional Brownian motion B^a,b with parameters a, b. We obtain the consistency and the asymptotic distribution of the LSE based on the observation {Xs, s∈[0,t]} as t tends to infinity.展开更多
A new class of reflected backward stochastic differential equations (RBSDEs) driven by Teugels martingales associated with Lévy process and Countable Brownian Motions are investigated. Via approximation, the exis...A new class of reflected backward stochastic differential equations (RBSDEs) driven by Teugels martingales associated with Lévy process and Countable Brownian Motions are investigated. Via approximation, the existence and uniqueness of solution to this kind of RBSDEs are obtained.展开更多
A target is assumed to move according to a Brownian motion on the real line. The searcher starts from the origin and moves in the two directions from the starting point. The object is to detect the target. The purpose...A target is assumed to move according to a Brownian motion on the real line. The searcher starts from the origin and moves in the two directions from the starting point. The object is to detect the target. The purpose of this paper is to find the conditions under which the expected value of the first meeting time of the searcher and the target is finite, and to show the existence of a search plan which made this expected value minimum.展开更多
In this paper,a class of risk processes perturbed by diffusion are considered. The Lundberg inequalities for the ruin probability are obtained.The size of the Lundberg exponents for different kinds of risk model is co...In this paper,a class of risk processes perturbed by diffusion are considered. The Lundberg inequalities for the ruin probability are obtained.The size of the Lundberg exponents for different kinds of risk model is compared. The numerical illustration for the impact of the parameters on the ruin probability is given.展开更多
Let {S t H, t ≥ 0） be a linear combination of a Brownian motion and an independent sub-fractional Brownian motion with Hurst index 0 〈 H 〈 1. Its main properties are studied. They suggest that SH lies between the ...Let {S t H, t ≥ 0） be a linear combination of a Brownian motion and an independent sub-fractional Brownian motion with Hurst index 0 〈 H 〈 1. Its main properties are studied. They suggest that SH lies between the sub-fractional Brownian motion and the mixed fractional Brownian motion. We also determine the values of H for which SH is not a semi-martingale.展开更多
Assuming that oil price follows the stochastic processes of Geometric Brownian Motion （GBM） or the Mean-Reverting Process （MRP）, this paper takes the net present value （NPV） as an economic index and models the P...Assuming that oil price follows the stochastic processes of Geometric Brownian Motion （GBM） or the Mean-Reverting Process （MRP）, this paper takes the net present value （NPV） as an economic index and models the PSC in 11 different scenarios by changing the value of each contract element （i.e. royalty, cost oil, profit oil as well as income tax）. Then the NPVs are shown in probability density graphs to investigate the effect of different elements on contract economics. The results show that under oil price uncertainty the influence of profit oil and income tax on NPV are more significant than those of royalty and cost oil, while a tax holiday could improve the contractor＇s financial status remarkably. Results also show that MRP is more appropriate for cases with low future oil price volatility, and GBM is best for high future oil price volatility.展开更多
Let {Xt,t ≥ 1} be a moving average process defined by Xt = ∑^∞ k=0 αkξt-k, where {αk,k ≥ 0} is a sequence of real numbers and {ξt,-∞ 〈 t 〈 ∞} is a doubly infinite sequence of strictly stationary dependen...Let {Xt,t ≥ 1} be a moving average process defined by Xt = ∑^∞ k=0 αkξt-k, where {αk,k ≥ 0} is a sequence of real numbers and {ξt,-∞ 〈 t 〈 ∞} is a doubly infinite sequence of strictly stationary dependent random variables. Under the conditions of {αk, k ≥ 0} which entail that {Xt, t ≥ 1} is either a long memory process or a linear process, the strong approximation of {Xt, t ≥ 1} to a Gaussian process is studied. Finally, the results are applied to obtain the strong approximation of a long memory process to a fractional Brownian motion and the laws of the iterated logarithm for moving average processes.展开更多
Let {X(t), t greater than or equal to 0} be a fractional Brownian motion of order 2 alpha with 0 < alpha < 1,beta > 0 be a real number, alpha(T) be a function of T and 0 < alpha(T), [GRAPHICS] (log T/alpha...Let {X(t), t greater than or equal to 0} be a fractional Brownian motion of order 2 alpha with 0 < alpha < 1,beta > 0 be a real number, alpha(T) be a function of T and 0 < alpha(T), [GRAPHICS] (log T/alpha(T))/log T = r, (0 less than or equal to r less than or equal to infinity). In this paper, we proved that [GRAPHICS] where c(1), c(2) are two positive constants depending only on alpha,beta.展开更多
We introduce the results on the multifractal structure of the occupation measures of a Brownian Motion, a stable process, a general subordinator and a stochastic process derived from random reordering of the Cantor se...We introduce the results on the multifractal structure of the occupation measures of a Brownian Motion, a stable process, a general subordinator and a stochastic process derived from random reordering of the Cantor set. We also introduced an interesting and powerful technique to investigate the multifractal spectrum.展开更多
In this paper, we prove that two-parameter Volterra multifractional process can be approximated in law in the topology of the anisotropic Besov spaces by the family of processes {Bn（s, t）}n∈N defined by Bn（s,t）=...In this paper, we prove that two-parameter Volterra multifractional process can be approximated in law in the topology of the anisotropic Besov spaces by the family of processes {Bn（s, t）}n∈N defined by Bn（s,t）=∫0^s∫0^tKa（s）（s,u）Kβ（t）（t,v）θn（u,u）dudu,where {θn（u, v））,n∈N is a family of processes, converging in law to a Brownian sheet as n -＊ oo, based on the well known Donsker＇s theorem.展开更多
In this paper, we introduce the definition of a multi-parameter fractional Lévy process and its local time, and show its decomposition. Using the decomposition, we prove existence and joint continuity of its loca...In this paper, we introduce the definition of a multi-parameter fractional Lévy process and its local time, and show its decomposition. Using the decomposition, we prove existence and joint continuity of its local time.展开更多
In this study, considering the temporarily unbiased force and different forms of oscillating forces, we investigate the current and efficiency of Brownian particles in an entropic tube structure and present the numeri...In this study, considering the temporarily unbiased force and different forms of oscillating forces, we investigate the current and efficiency of Brownian particles in an entropic tube structure and present the numerically obtained results. We show that different force forms give rise to different current and efficiency profiles in different optimized parameter intervals. We find that an unbiased oscillating force and an unbiased temporal force lead to the current and efficiency, which are dependent on these parameters. We also observe that the current and efficiency caused by temporal and different oscillating forces have maximum and minimum values in different parameter intervals. We conclude that the current or efficiency can be controlled dynamically by adjusting the parameters of entropic barriers and applied force.展开更多
This paper gives a characterization of a Hunt process path by the first exit left limit distribution. It is also showed that if the first exit left limit distribution leaving any ball from the center is a uniform dist...This paper gives a characterization of a Hunt process path by the first exit left limit distribution. It is also showed that if the first exit left limit distribution leaving any ball from the center is a uniform distribution on the sphere, then the Levy Processes are a scaled Brownian motion.展开更多
Let S = {（St1,···,Std ）}t≥0 denote a d-dimensional sub-fractional Brownian motion with index H ≥ 1/2. In this paper we study some properties of the process X of the formwhere Rt = （（St1）2＋·...Let S = {（St1,···,Std ）}t≥0 denote a d-dimensional sub-fractional Brownian motion with index H ≥ 1/2. In this paper we study some properties of the process X of the formwhere Rt = （（St1）2＋···＋（Std）2）~1/2 is the sub-fractional Bessel process.展开更多
We use the Brownian dynamics with hydrodynamic interactions simulation in order to describe the movement of an elastically coupled dimer Brownian motor in a ratchet potential. The only external forces considered in ou...We use the Brownian dynamics with hydrodynamic interactions simulation in order to describe the movement of an elastically coupled dimer Brownian motor in a ratchet potential. The only external forces considered in our system were the load, the random thermal noise and an unbiased thermal fluctuation. We observe differences in the dynamic behaviour if hydrodynamic interactions are considered as compared with the case without them. In conclusion, hydrodynamic interactions influence substantially the dynamics of a ratchet dimer Brownian motor;consequently they have to be considered in any theory where the molecular motors are in a liquid medium.展开更多
基金supported by the National Natural Science Foundation of China(11271020)the Distinguished Young Scholars Foundation of Anhui Province(1608085J06)supported by the National Natural Science Foundation of China(11171062)
文摘In this article, we study a least squares estimator （LSE） of θ for the Ornstein- Uhlenbeck process X0=0,dXt=θXtdt＋dBt^ab, t ≥ 0 driven by weighted fractional Brownian motion B^a,b with parameters a, b. We obtain the consistency and the asymptotic distribution of the LSE based on the observation {Xs, s∈[0,t]} as t tends to infinity.
文摘A new class of reflected backward stochastic differential equations (RBSDEs) driven by Teugels martingales associated with Lévy process and Countable Brownian Motions are investigated. Via approximation, the existence and uniqueness of solution to this kind of RBSDEs are obtained.
文摘A target is assumed to move according to a Brownian motion on the real line. The searcher starts from the origin and moves in the two directions from the starting point. The object is to detect the target. The purpose of this paper is to find the conditions under which the expected value of the first meeting time of the searcher and the target is finite, and to show the existence of a search plan which made this expected value minimum.
文摘In this paper,a class of risk processes perturbed by diffusion are considered. The Lundberg inequalities for the ruin probability are obtained.The size of the Lundberg exponents for different kinds of risk model is compared. The numerical illustration for the impact of the parameters on the ruin probability is given.
文摘Let {S t H, t ≥ 0） be a linear combination of a Brownian motion and an independent sub-fractional Brownian motion with Hurst index 0 〈 H 〈 1. Its main properties are studied. They suggest that SH lies between the sub-fractional Brownian motion and the mixed fractional Brownian motion. We also determine the values of H for which SH is not a semi-martingale.
基金financial support from Key Projects of Philosophy and Social Sciences Research of Ministry of Education (09JZD0038)
文摘Assuming that oil price follows the stochastic processes of Geometric Brownian Motion （GBM） or the Mean-Reverting Process （MRP）, this paper takes the net present value （NPV） as an economic index and models the PSC in 11 different scenarios by changing the value of each contract element （i.e. royalty, cost oil, profit oil as well as income tax）. Then the NPVs are shown in probability density graphs to investigate the effect of different elements on contract economics. The results show that under oil price uncertainty the influence of profit oil and income tax on NPV are more significant than those of royalty and cost oil, while a tax holiday could improve the contractor＇s financial status remarkably. Results also show that MRP is more appropriate for cases with low future oil price volatility, and GBM is best for high future oil price volatility.
文摘Let {Xt,t ≥ 1} be a moving average process defined by Xt = ∑^∞ k=0 αkξt-k, where {αk,k ≥ 0} is a sequence of real numbers and {ξt,-∞ 〈 t 〈 ∞} is a doubly infinite sequence of strictly stationary dependent random variables. Under the conditions of {αk, k ≥ 0} which entail that {Xt, t ≥ 1} is either a long memory process or a linear process, the strong approximation of {Xt, t ≥ 1} to a Gaussian process is studied. Finally, the results are applied to obtain the strong approximation of a long memory process to a fractional Brownian motion and the laws of the iterated logarithm for moving average processes.
文摘Let {X(t), t greater than or equal to 0} be a fractional Brownian motion of order 2 alpha with 0 < alpha < 1,beta > 0 be a real number, alpha(T) be a function of T and 0 < alpha(T), [GRAPHICS] (log T/alpha(T))/log T = r, (0 less than or equal to r less than or equal to infinity). In this paper, we proved that [GRAPHICS] where c(1), c(2) are two positive constants depending only on alpha,beta.
基金Supported by the National Natural Science Foundation of China
文摘We introduce the results on the multifractal structure of the occupation measures of a Brownian Motion, a stable process, a general subordinator and a stochastic process derived from random reordering of the Cantor set. We also introduced an interesting and powerful technique to investigate the multifractal spectrum.
基金partially supported by National Natural Science Foundation of China(Grant Nos.1140131311771209)+6 种基金partially supported by National Natural Science Foundation of China(Grant No.11426036)Natural Science Foundation of Jiangsu Province(Grant No.BK20161579)China Postdoctoral Science Foundation(Grant Nos.2014M5603682015T80475)2014 Qing Lan ProjectNatural Science Foundation of Anhui Province(Grant No.1408085QA10)Key Natural Science Foundation of Anhui Education Commission(Grant No.KJ2016A453)
文摘In this paper, we prove that two-parameter Volterra multifractional process can be approximated in law in the topology of the anisotropic Besov spaces by the family of processes {Bn（s, t）}n∈N defined by Bn（s,t）=∫0^s∫0^tKa（s）（s,u）Kβ（t）（t,v）θn（u,u）dudu,where {θn（u, v））,n∈N is a family of processes, converging in law to a Brownian sheet as n -＊ oo, based on the well known Donsker＇s theorem.
基金supported by the National Natural Science Foundation of China (No. 10871177)the Ph. D.Programs Foundation of Ministry of Education of China (No. 20060335032)the Natural Science Foundation of Zhejiang Province of China (No. Y7080044)
文摘In this paper, we introduce the definition of a multi-parameter fractional Lévy process and its local time, and show its decomposition. Using the decomposition, we prove existence and joint continuity of its local time.
基金Project supported by the Funds from Istanbul University(Grant No.45662)
文摘In this study, considering the temporarily unbiased force and different forms of oscillating forces, we investigate the current and efficiency of Brownian particles in an entropic tube structure and present the numerically obtained results. We show that different force forms give rise to different current and efficiency profiles in different optimized parameter intervals. We find that an unbiased oscillating force and an unbiased temporal force lead to the current and efficiency, which are dependent on these parameters. We also observe that the current and efficiency caused by temporal and different oscillating forces have maximum and minimum values in different parameter intervals. We conclude that the current or efficiency can be controlled dynamically by adjusting the parameters of entropic barriers and applied force.
基金Supported by the National Natural Science Foundation of China (10601047)
文摘This paper gives a characterization of a Hunt process path by the first exit left limit distribution. It is also showed that if the first exit left limit distribution leaving any ball from the center is a uniform distribution on the sphere, then the Levy Processes are a scaled Brownian motion.
基金Supported by the NSFC (10871041)Key NSF of Anhui Educational Committe (KJ2011A139)
文摘Let S = {（St1,···,Std ）}t≥0 denote a d-dimensional sub-fractional Brownian motion with index H ≥ 1/2. In this paper we study some properties of the process X of the formwhere Rt = （（St1）2＋···＋（Std）2）~1/2 is the sub-fractional Bessel process.
文摘We use the Brownian dynamics with hydrodynamic interactions simulation in order to describe the movement of an elastically coupled dimer Brownian motor in a ratchet potential. The only external forces considered in our system were the load, the random thermal noise and an unbiased thermal fluctuation. We observe differences in the dynamic behaviour if hydrodynamic interactions are considered as compared with the case without them. In conclusion, hydrodynamic interactions influence substantially the dynamics of a ratchet dimer Brownian motor;consequently they have to be considered in any theory where the molecular motors are in a liquid medium.
