A lot of forms and applications have been found in Poincar6 inequality, but the optimum constants satisfying Poincar6 inequality have not been estimated. This paper estimates the optimum constants λ0 and λ1 satisfyi...A lot of forms and applications have been found in Poincar6 inequality, but the optimum constants satisfying Poincar6 inequality have not been estimated. This paper estimates the optimum constants λ0 and λ1 satisfying Poincaré inequality by using isoperimetric constants. It is λ0≥k0^2/（2R） and λ1 ≥k1^2/（2R）.展开更多
Using approximation technique, we introduce the concepts of canonical extension and symmetrio integral for jump process and obtain some results in the chaotic form.
A variational formula for the lower bound of the principal eigenvalue of general Markov jump processes is presented.The result is complete in the sense that the condition is fulfilled and the resulting bound is sharp ...A variational formula for the lower bound of the principal eigenvalue of general Markov jump processes is presented.The result is complete in the sense that the condition is fulfilled and the resulting bound is sharp for Markov chains under some mild assumptions.展开更多
We survey the recent development of the DeGiorgi-Nash-Moser-Aronson type theory for a class of symmetric jump processes(or equivalently,a class of symmetric integro-differential operators).We focus on the sharp two-si...We survey the recent development of the DeGiorgi-Nash-Moser-Aronson type theory for a class of symmetric jump processes(or equivalently,a class of symmetric integro-differential operators).We focus on the sharp two-sided estimates for the transition density functions(or heat kernels) of the processes,a priori Hlder estimate and parabolic Harnack inequalities for their parabolic functions.In contrast to the second order elliptic differential operator case,the methods to establish these properties for symmetric integro-differential operators are mainly probabilistic.展开更多
In this paper, we discuss necessary and sufficient conditions on jumping kernels for a class of jump-type Markov processes on metric measure spaces to have scale-invariant finite range parabolic Harnack inequality.
Let （Xt）t≥0 be a symmetric strong Markov process generated by non-local regular Dirichlet form （D, （D）） as follows：where J（x, y） is a strictly positive and symmetric measurable function on Rd × Rd. We s...Let （Xt）t≥0 be a symmetric strong Markov process generated by non-local regular Dirichlet form （D, （D）） as follows：where J（x, y） is a strictly positive and symmetric measurable function on Rd × Rd. We study the intrinsic hypercontractivity, intrinsic supercontractivity, and intrinsic ultracontractivity for the Feynman-Kac semigroup展开更多
Let X=(Ω,■,■,X_(t),θ_(t),P^(x))be a jump Markov process with q-pair q(x)-q(x,A).In this paper,the equilibrium principle is established and equilibrium functions,energy,capacity and related problems is investigated...Let X=(Ω,■,■,X_(t),θ_(t),P^(x))be a jump Markov process with q-pair q(x)-q(x,A).In this paper,the equilibrium principle is established and equilibrium functions,energy,capacity and related problems is investigated in terms of the q-pair q(x)-q(x,A).展开更多
Let L be a L′evy process with characteristic measureν,which has an absolutely continuous lower bound w.r.t.the Lebesgue measure on Rn.By using Malliavin calculus for jump processes,we investigate Bismut formula,grad...Let L be a L′evy process with characteristic measureν,which has an absolutely continuous lower bound w.r.t.the Lebesgue measure on Rn.By using Malliavin calculus for jump processes,we investigate Bismut formula,gradient estimates and coupling property for the semigroups associated to semilinear SDEs forced by L′evy process L.展开更多
The representation of additive functionals and local times for jump Markov processes are obtained.The results of uniformly functional moderate deviation and their applications to birth-death processes are also presented.
In this paper,we first establish the sharp two-sided heat kernel estimates and the gradient estimate for the truncated fractional Laplacian under gradient perturbation S^(b):=△^(α/2)+b·▽,where △^(α/2) is the...In this paper,we first establish the sharp two-sided heat kernel estimates and the gradient estimate for the truncated fractional Laplacian under gradient perturbation S^(b):=△^(α/2)+b·▽,where △^(α/2) is the truncated fractional Laplacian,α∈(1,2) and b ∈ K_(d)^(α-1).In the second part,for a more general finite range jump process,we present some sufficient conditions to allow that the two sided estimates of the heat kernel are comparable to the Poisson type function for large distance |x-y|in short time.展开更多
Identity by descent(IBD)sharing is a very important genomic feature in population genetics which can be used to reconstruct recent demographic history.In this paper we provide a framework to estimate IBD sharing for a...Identity by descent(IBD)sharing is a very important genomic feature in population genetics which can be used to reconstruct recent demographic history.In this paper we provide a framework to estimate IBD sharing for a demographic model called two-population model with migration.We adopt the structured coalescent theory and use a continuous-time Markov jump process{X(t),t≥0}to describe the genealogical process in such model.Then we apply Kolmogorov backward equation to calculate the distribution of coalescence time and develop a formula for estimating the IBD sharing.The simulation studies show that our method to estimate IBD sharing for this demographic model is robust and accurate.展开更多
Although Geometric Brownian Motion and Jump Diffusion Models have largely dominated the literature on asset price modeling, studies of the empirical stock price data on the Ghana Stock Exchange have led to the conclus...Although Geometric Brownian Motion and Jump Diffusion Models have largely dominated the literature on asset price modeling, studies of the empirical stock price data on the Ghana Stock Exchange have led to the conclusion that there are some stocks in which the return processes consistently depart from these models in theory as well as in its statistical properties. This paper gives a fundamental review of the development of a stock price model based on pure jump processes to capture the unique behavior exhibited by some stocks on the Exchange. Although pure jump processes have been examined thoroughly by other authors, there is a lack of mathematical clarity in terms of deriving the underlying stock price process. This paper provides a link between stock prices existing on a measure space to its development as a pure jump Levy process. We test the suitability of the model to the empirical evidence using numerical procedures. The simulation results show that the trajectories of the model are a better fit for the empirical data than those produced by the diffusion and jump diffusion models.展开更多
This is a sequel to our joint paper in which upper bound estimates for large deviations for Markov chains are studied.The purpose of this paper is to characterize the rate function of large devia- tions for jump proce...This is a sequel to our joint paper in which upper bound estimates for large deviations for Markov chains are studied.The purpose of this paper is to characterize the rate function of large devia- tions for jump processes.In particular,an explicit expression of the rate function is given in the case of the process being symmetrizable.展开更多
In this paper, we consider the two-sided first exit problem for jump diffusion processes having jumps with rational Laplace transforms. We investigate the probabilistic property of conditional memorylessness, and driv...In this paper, we consider the two-sided first exit problem for jump diffusion processes having jumps with rational Laplace transforms. We investigate the probabilistic property of conditional memorylessness, and drive the joint distribution of the first exit time from an interval and the overshoot over the boundary at the exit time.展开更多
A framework for the optimal sparse-control of the probability density function of a jump-diffusion process is presented. This framework is based on the partial integro-differential Fokker-Planck (FP) equation that gov...A framework for the optimal sparse-control of the probability density function of a jump-diffusion process is presented. This framework is based on the partial integro-differential Fokker-Planck (FP) equation that governs the time evolution of the probability density function of this process. In the stochastic process and, correspondingly, in the FP model the control function enters as a time-dependent coefficient. The objectives of the control are to minimize a discrete-in-time, resp. continuous-in-time, tracking functionals and its L2- and L1-costs, where the latter is considered to promote control sparsity. An efficient proximal scheme for solving these optimal control problems is considered. Results of numerical experiments are presented to validate the theoretical results and the computational effectiveness of the proposed control framework.展开更多
The hedging problem for insiders is very important in the financial market.The locally risk minimizing hedging was adopted to solve this problem.Since the market was incomplete,the minimal martingale measure was chose...The hedging problem for insiders is very important in the financial market.The locally risk minimizing hedging was adopted to solve this problem.Since the market was incomplete,the minimal martingale measure was chosen as the equivalent martingale measure.By the F-S decomposition,the expression of the locally risk minimizing strategy was presented.Finally,the local risk minimization was applied to index tracking and its relationship with tracking error variance (TEV)-minimizing strategy was obtained.展开更多
The exponential stability is investigated for a class of continuous time linear systems with a finite state Markov chain form process and the impulsive jump at switching moments. The conditions, based on the average d...The exponential stability is investigated for a class of continuous time linear systems with a finite state Markov chain form process and the impulsive jump at switching moments. The conditions, based on the average dwell time and the ratio of expectation of the total time running on all unstable subsystems to the expectation of the total time running on all stable subsystems,assure the exponential stability with a desired stability degree of the system irrespective of the impact of impulsive jump. The uniformly bounded result is realized for the case in which switched system is subjected to the impulsive effect of the excitation signal at some switching moments.展开更多
In this paper, the optimal XL-reinsurance of an insurer with jump-diffusion risk process is studied. With the assumptions that the risk process is a compound Possion process perturbed by a standard Brownian motion and...In this paper, the optimal XL-reinsurance of an insurer with jump-diffusion risk process is studied. With the assumptions that the risk process is a compound Possion process perturbed by a standard Brownian motion and the reinsurance premium is calculated according to the variance principle, the implicit expression of the priority and corresponding value function when the utility function is exponential are obtained. At last, the value function is argued, the properties of the priority about parameters are discussed and numerical results of the priority for various claim-size distributions are shown.展开更多
Temperature dependence of magnetic switching processes with multiple jumps in Fe/MgO（001） films is investigated by magnetoresistance measurements. When the temperature decreases from 300K to 80K, the measured three-...Temperature dependence of magnetic switching processes with multiple jumps in Fe/MgO（001） films is investigated by magnetoresistance measurements. When the temperature decreases from 300K to 80K, the measured three-jump hysteresis loops turn into two-jump loops. The temperature dependence of the fourfold in-plane magnetic anisotropy constant K1, domain wall pinning energy, and an additional uniaxial magnetic anisotropy constant KUare responsible for this transformation. The strengths of K1 and domain wall pinning energy increase with decreasing temperature, but KU remains unchanged. Moreover, magnetization reversal mechanisms, with either two successive or two separate 90°domain wall propagation, are introduced to explain the multi-jump magnetic switching process in epitaxial Fe/MgO（001） films at different temperatures.展开更多
基金The Science and Technology Foundation of Chongqing Municipal Education Commission (No.KJ071106)
文摘A lot of forms and applications have been found in Poincar6 inequality, but the optimum constants satisfying Poincar6 inequality have not been estimated. This paper estimates the optimum constants λ0 and λ1 satisfying Poincaré inequality by using isoperimetric constants. It is λ0≥k0^2/（2R） and λ1 ≥k1^2/（2R）.
基金Supported in part by National Natural Science Foundation of China.
文摘Using approximation technique, we introduce the concepts of canonical extension and symmetrio integral for jump process and obtain some results in the chaotic form.
基金Research supported in part by NSFC (No.19631060)Math.Tian Yuan Found.,Qiu Shi Sci.& Tech.Found.,RFDP and MCME
文摘A variational formula for the lower bound of the principal eigenvalue of general Markov jump processes is presented.The result is complete in the sense that the condition is fulfilled and the resulting bound is sharp for Markov chains under some mild assumptions.
基金supported by National Science Foundation of USA(Grant No.DMS-0600206)
文摘We survey the recent development of the DeGiorgi-Nash-Moser-Aronson type theory for a class of symmetric jump processes(or equivalently,a class of symmetric integro-differential operators).We focus on the sharp two-sided estimates for the transition density functions(or heat kernels) of the processes,a priori Hlder estimate and parabolic Harnack inequalities for their parabolic functions.In contrast to the second order elliptic differential operator case,the methods to establish these properties for symmetric integro-differential operators are mainly probabilistic.
基金supported by NSF (Grant No. DMS-0600206)supported by the Korea Science Engineering Foundation (KOSEF) Grant funded by the Korea government (MEST) (No. R01-2008-000-20010-0)supported by the Grant-in-Aid for Scientific Research (B) 18340027
文摘In this paper, we discuss necessary and sufficient conditions on jumping kernels for a class of jump-type Markov processes on metric measure spaces to have scale-invariant finite range parabolic Harnack inequality.
基金The authors would like to thank Professor Mu-Fa Chen and Professor Feng-Yu Wang for introducing them the field of functional inequalities when they studied in Beijing Normal University, and for their continuous encouragement and great help in the past few years. The authors are also indebted to the referees for valuable comments on the draft. This work was supported by the National Natural Science Foundation of China （Grant No. 11201073）, Japan Society for the Promotion of Science （No. 26.04021）, the Natural Science Foundation of Fujian Province （No. 2015J01003）, and the Program for Nonlinear Analysis and Its Applications （No. IRTL1206） （for Jian Wang）.
文摘Let （Xt）t≥0 be a symmetric strong Markov process generated by non-local regular Dirichlet form （D, （D）） as follows：where J（x, y） is a strictly positive and symmetric measurable function on Rd × Rd. We study the intrinsic hypercontractivity, intrinsic supercontractivity, and intrinsic ultracontractivity for the Feynman-Kac semigroup
文摘Let X=(Ω,■,■,X_(t),θ_(t),P^(x))be a jump Markov process with q-pair q(x)-q(x,A).In this paper,the equilibrium principle is established and equilibrium functions,energy,capacity and related problems is investigated in terms of the q-pair q(x)-q(x,A).
文摘Let L be a L′evy process with characteristic measureν,which has an absolutely continuous lower bound w.r.t.the Lebesgue measure on Rn.By using Malliavin calculus for jump processes,we investigate Bismut formula,gradient estimates and coupling property for the semigroups associated to semilinear SDEs forced by L′evy process L.
基金supported by the National Nature Science Foundation of China(10271091)
文摘The representation of additive functionals and local times for jump Markov processes are obtained.The results of uniformly functional moderate deviation and their applications to birth-death processes are also presented.
基金Partially supported by NSFC(Grant Nos.11731009 and 11401025)。
文摘In this paper,we first establish the sharp two-sided heat kernel estimates and the gradient estimate for the truncated fractional Laplacian under gradient perturbation S^(b):=△^(α/2)+b·▽,where △^(α/2) is the truncated fractional Laplacian,α∈(1,2) and b ∈ K_(d)^(α-1).In the second part,for a more general finite range jump process,we present some sufficient conditions to allow that the two sided estimates of the heat kernel are comparable to the Poisson type function for large distance |x-y|in short time.
基金supported by the Fundamental Research Funds for the Central Universities(2020RC001)。
文摘Identity by descent(IBD)sharing is a very important genomic feature in population genetics which can be used to reconstruct recent demographic history.In this paper we provide a framework to estimate IBD sharing for a demographic model called two-population model with migration.We adopt the structured coalescent theory and use a continuous-time Markov jump process{X(t),t≥0}to describe the genealogical process in such model.Then we apply Kolmogorov backward equation to calculate the distribution of coalescence time and develop a formula for estimating the IBD sharing.The simulation studies show that our method to estimate IBD sharing for this demographic model is robust and accurate.
文摘Although Geometric Brownian Motion and Jump Diffusion Models have largely dominated the literature on asset price modeling, studies of the empirical stock price data on the Ghana Stock Exchange have led to the conclusion that there are some stocks in which the return processes consistently depart from these models in theory as well as in its statistical properties. This paper gives a fundamental review of the development of a stock price model based on pure jump processes to capture the unique behavior exhibited by some stocks on the Exchange. Although pure jump processes have been examined thoroughly by other authors, there is a lack of mathematical clarity in terms of deriving the underlying stock price process. This paper provides a link between stock prices existing on a measure space to its development as a pure jump Levy process. We test the suitability of the model to the empirical evidence using numerical procedures. The simulation results show that the trajectories of the model are a better fit for the empirical data than those produced by the diffusion and jump diffusion models.
文摘This is a sequel to our joint paper in which upper bound estimates for large deviations for Markov chains are studied.The purpose of this paper is to characterize the rate function of large devia- tions for jump processes.In particular,an explicit expression of the rate function is given in the case of the process being symmetrizable.
文摘In this paper, we consider the two-sided first exit problem for jump diffusion processes having jumps with rational Laplace transforms. We investigate the probabilistic property of conditional memorylessness, and drive the joint distribution of the first exit time from an interval and the overshoot over the boundary at the exit time.
文摘A framework for the optimal sparse-control of the probability density function of a jump-diffusion process is presented. This framework is based on the partial integro-differential Fokker-Planck (FP) equation that governs the time evolution of the probability density function of this process. In the stochastic process and, correspondingly, in the FP model the control function enters as a time-dependent coefficient. The objectives of the control are to minimize a discrete-in-time, resp. continuous-in-time, tracking functionals and its L2- and L1-costs, where the latter is considered to promote control sparsity. An efficient proximal scheme for solving these optimal control problems is considered. Results of numerical experiments are presented to validate the theoretical results and the computational effectiveness of the proposed control framework.
基金National Natural Science Foundations of China (No. 11071076,No. 11126124)
文摘The hedging problem for insiders is very important in the financial market.The locally risk minimizing hedging was adopted to solve this problem.Since the market was incomplete,the minimal martingale measure was chosen as the equivalent martingale measure.By the F-S decomposition,the expression of the locally risk minimizing strategy was presented.Finally,the local risk minimization was applied to index tracking and its relationship with tracking error variance (TEV)-minimizing strategy was obtained.
基金the National Natural Science Foundation of China (60674027, 60574007)Doctoral Foundation of Education Ministry of China (20050446001).
文摘The exponential stability is investigated for a class of continuous time linear systems with a finite state Markov chain form process and the impulsive jump at switching moments. The conditions, based on the average dwell time and the ratio of expectation of the total time running on all unstable subsystems to the expectation of the total time running on all stable subsystems,assure the exponential stability with a desired stability degree of the system irrespective of the impact of impulsive jump. The uniformly bounded result is realized for the case in which switched system is subjected to the impulsive effect of the excitation signal at some switching moments.
基金Supported by the Humanity and Social Science Foundation of Ministry of Education of China(10YJC790296)Supported by the National Natural Science Foundation of China(71073020)
文摘In this paper, the optimal XL-reinsurance of an insurer with jump-diffusion risk process is studied. With the assumptions that the risk process is a compound Possion process perturbed by a standard Brownian motion and the reinsurance premium is calculated according to the variance principle, the implicit expression of the priority and corresponding value function when the utility function is exponential are obtained. At last, the value function is argued, the properties of the priority about parameters are discussed and numerical results of the priority for various claim-size distributions are shown.
基金supported by the National Basic Research Program of China(Grant Nos.2015CB921403,2011CB921801,and 2012CB933102)the National Natural Science Foundation of China(Grant Nos.51427801,11374350,and 11274361)
文摘Temperature dependence of magnetic switching processes with multiple jumps in Fe/MgO（001） films is investigated by magnetoresistance measurements. When the temperature decreases from 300K to 80K, the measured three-jump hysteresis loops turn into two-jump loops. The temperature dependence of the fourfold in-plane magnetic anisotropy constant K1, domain wall pinning energy, and an additional uniaxial magnetic anisotropy constant KUare responsible for this transformation. The strengths of K1 and domain wall pinning energy increase with decreasing temperature, but KU remains unchanged. Moreover, magnetization reversal mechanisms, with either two successive or two separate 90°domain wall propagation, are introduced to explain the multi-jump magnetic switching process in epitaxial Fe/MgO（001） films at different temperatures.
