The non-elementary integrals involving elementary exponential, hyperbolic and trigonometric functions, <img src="Edit_699140d3-f569-463e-b835-7ccdab822717.png" width="290" height="22" ...The non-elementary integrals involving elementary exponential, hyperbolic and trigonometric functions, <img src="Edit_699140d3-f569-463e-b835-7ccdab822717.png" width="290" height="22" alt="" /><img src="Edit_bdd10470-9b63-4b2d-9cec-636969547ca5.png" width="90" height="22" alt="" /><span style="white-space:normal;">and <img src="Edit_e9cd6876-e2b8-45cf-ba17-391f054679b4.png" width="90" height="21" alt="" /></span>where <span style="white-space:nowrap;"><em>α</em>,<span style="white-space:nowrap;"><em>η</em></span><em></em></span> and <span style="white-space:nowrap;"><em>β</em></span> are real or complex constants are evaluated in terms of the confluent hypergeometric function <sub>1</sub><em>F</em><sub>1</sub> and the hypergeometric function <sub>1</sub><em>F</em><sub>2</sub>. The hyperbolic and Euler identities are used to derive some identities involving exponential, hyperbolic, trigonometric functions and the hypergeometric functions <sub style="white-space:normal;">1</sub><em style="white-space:normal;">F</em><sub style="white-space:normal;">1</sub> and <sub style="white-space:normal;">1</sub><em style="white-space:normal;">F</em><sub style="white-space:normal;">2</sub>. Having evaluated, these non-elementary integrals, some new probability measures generalizing the gamma-type and Gaussian distributions are also obtained. The obtained generalized probability distributions may, for example, allow to perform better statistical tests than those already known (e.g. chi-square (<span style="white-space:nowrap;"><em>x</em><sup>2</sup></span>) statistical tests and other statistical tests constructed based on the central limit theorem (CLT)), while avoiding the use of computational approximations (or methods) which are in general expensive and associated with numerical errors.展开更多
In this paper,a necessary and sufficient condition of a measure to be the product Borel probability measure on the product space of some compact metric spaces are given.
Let μ be an Ahlfors-David probability measure on Rq;therefore,there exist some constants s0> 0 and ε0,C1,C2> 0 such that C1εs0≤μ(B(x,ε))≤C2εs0 for all ε∈(0,ε0) and x ∈ supp(μ).For n≥ 1,let αn be a...Let μ be an Ahlfors-David probability measure on Rq;therefore,there exist some constants s0> 0 and ε0,C1,C2> 0 such that C1εs0≤μ(B(x,ε))≤C2εs0 for all ε∈(0,ε0) and x ∈ supp(μ).For n≥ 1,let αn be an n-optimal set for μ of order r;furthermore,let {Pa(αn)}a∈αn be an arbitrary Voronoi partition with respect to αn.The n-th quantization error en,r(μ) for μ of order r can be defined as en,rr(μ):=∫ d(x,αn)r dμ(x).We define Ia(αn,μ):=∫Pa(αn) d(x,αn)r dμ(x),a ∈αn,and prove that,the three quantities ■ are of the same order as that of 1/nen,rr(μ).Thus,our result exhibits that,a weak version of Gersho’s conjecture holds true for the Ahlfors-David probability measures on Rq.展开更多
The paper deals with multifractal quantities for some types of Radon measures,especially self-similar probability measures,and their relations to Besov spaces.
In this paper,given a compact space X,we construct a continuous mapping from the space Pf(X) of all probability measures on X into the space of maximal linked systems of closed subsets of X.Also,we investigate the beh...In this paper,given a compact space X,we construct a continuous mapping from the space Pf(X) of all probability measures on X into the space of maximal linked systems of closed subsets of X.Also,we investigate the behavior of the functional tightness and the local density of topological spaces under the action of the functor Pf:Comp-→Comp.We show that the functor Pf does not change the functional tightness and the local density of compact spaces.展开更多
Let S = Pi(i=1)(infinity){0, 1, ..., r - 1} and (R) over bar the general Sierpinski carpet, Let mu be the induced probability measure on (R) over bar of <(mu)over tilde> on S by phi, where phi is the natural sur...Let S = Pi(i=1)(infinity){0, 1, ..., r - 1} and (R) over bar the general Sierpinski carpet, Let mu be the induced probability measure on (R) over bar of <(mu)over tilde> on S by phi, where phi is the natural surjection from S onto (R) over bar and <(mu)over tilde> is the infinite product probability measure corresponding to probability vector (b(0), ..., b(r-1)) with b(i) = a(i)(logn) (m-1)/m(alpha). Authors show that dim(H) mu = (C) under bar(L)(mu) = (C) over bar(L)(mu) = (C) under bar(mu) = (C) over bar C(mu) = alpha.展开更多
Tracking multiple space objects using multiple surveillance sensors is a critical approach in many Space Situation Awareness(SSA) applications. In this process, the uncertainties of targets,dynamics, and observations ...Tracking multiple space objects using multiple surveillance sensors is a critical approach in many Space Situation Awareness(SSA) applications. In this process, the uncertainties of targets,dynamics, and observations are usually represented by the probability distributions. However, precise characterization of uncertainty becomes challenging due to imperfect knowledge about some key aspects, such as birth targets and sensor detection profiles. To overcome this challenge, this paper proposes a multi-sensor possibility PHD filter based on the theory of outer probability measures. An effective compensation method is introduced to tackle variations in the fields of view of SSA sensors or instances of missed detections, aiming to mitigate the inconsistency in localized information. The proposed method is adapted to centralized and distributed sensor networks, offering effective solutions for multi-sensor multi-target tracking. The major innovation of the proposed method compared with typical methods is the proper description of epistemic uncertainty, which yields more robust performance in the scenarios of lacking some information about the system.The effectiveness of the multi-sensor possibility PHD filter is demonstrated by a comparison with conventional methods in two simulated scenarios.展开更多
Exotic options, or “path-dependent” options are options whose payoff depends on the behavior of the price of the underlying between 0 and the maturity, rather than merely on the final price of the underlying, such a...Exotic options, or “path-dependent” options are options whose payoff depends on the behavior of the price of the underlying between 0 and the maturity, rather than merely on the final price of the underlying, such as compound options, reset options and so on. In this paper, a generalization of the Geske formula for compound call options is obtained in the case of time-dependent volatility and time-dependent interest rate by applying martingale methods and the change of numeraire or the change of probability measure. An analytic formula for the reset call options with predetermined dates is also derived in the case by using the same approach. In contrast to partial differential equation (PDE) approach, our approach is simpler.展开更多
Traditional Global Sensitivity Analysis（GSA） focuses on ranking inputs according to their contributions to the output uncertainty.However,information about how the specific regions inside an input affect the output ...Traditional Global Sensitivity Analysis（GSA） focuses on ranking inputs according to their contributions to the output uncertainty.However,information about how the specific regions inside an input affect the output is beyond the traditional GSA techniques.To fully address this issue,in this work,two regional moment-independent importance measures,Regional Importance Measure based on Probability Density Function（RIMPDF） and Regional Importance Measure based on Cumulative Distribution Function（RIMCDF）,are introduced to find out the contributions of specific regions of an input to the whole output distribution.The two regional importance measures prove to be reasonable supplements of the traditional GSA techniques.The ideas of RIMPDF and RIMCDF are applied in two engineering examples to demonstrate that the regional moment-independent importance analysis can add more information concerning the contributions of model inputs.展开更多
In this article,we study the hyperbolic dynamics of geodesic flows on Riemannian(not necessarily compact)manifolds with no conjugate points.By hyperbolic dynamics,we focus on the Anosov Closing Lemma,the local product...In this article,we study the hyperbolic dynamics of geodesic flows on Riemannian(not necessarily compact)manifolds with no conjugate points.By hyperbolic dynamics,we focus on the Anosov Closing Lemma,the local product structure,and the transitivity of the geodesic flows on the set of rank 1 non-wandering setΩ_(1) under the conditions of bounded asymptote and uniform visibility.As an application,we further discuss on some generic properties of the set of invariant probability measures.展开更多
In engineering systems,uncertainties in input parameters can significantly influence the output responses.This paper proposes a model distance-based approach to perform global sensitivity analysis for quantifying the ...In engineering systems,uncertainties in input parameters can significantly influence the output responses.This paper proposes a model distance-based approach to perform global sensitivity analysis for quantifying the influence of input uncertainties on multiple responses in an engineering system.The sensitivity indices are determined by comparing a reference model that incorporates all system uncertainties,with an altered model,where specific uncertainties are constrained.The proposed framework employs probability distance measures such as Hellinger distance,Kullback-Leibler divergence,and I2 norm which are based on joint probability density functions.The study also demonstrates the equivalence between the l2 norm-based approach and Sobol's analysis in multivariate sensitivity context.The proposed methodology effectively manages correlated random variables,accommodates both Gaussian and non-Gaussian distributions,and allows for the grouping of input variables.Ilustrative examples consist of static analysis of a truss system and dynamic analysis of a frame subjected to seismic excitation.The sensitivity indices are estimated using brute-force Monte Carlo simulations.The relative ranking of these sensitivity indices can be utilized to identify the most and least significant variables contributing to the response uncertainty.The numerical results show a consistent ranking of input variables across different probability measures,indicating the robustness of proposed framework.展开更多
The main achievement of this paper is the finding and proof of Central Limit Theorem(CLT,see Theorem 12)under the framework of sublinear expectation.Roughly speaking under some reasonable assumption,the random sequenc...The main achievement of this paper is the finding and proof of Central Limit Theorem(CLT,see Theorem 12)under the framework of sublinear expectation.Roughly speaking under some reasonable assumption,the random sequence{1/√n(X1+···+Xn)}i∞=1 converges in law to a nonlinear normal distribution,called G-normal distribution,where{Xi}i∞=1 is an i.i.d.sequence under the sublinear expectation.It’s known that the framework of sublinear expectation provides a important role in situations that the probability measure itself has non-negligible uncertainties.Under such situation,this new CLT plays a similar role as the one of classical CLT.The classical CLT can be also directly obtained from this new CLT,since a linear expectation is a special case of sublinear expectations.A deep regularity estimate of 2nd order fully nonlinear parabolic PDE is applied to the proof of the CLT.This paper is originally exhibited in arXiv.(math.PR/0702358v1).展开更多
In this paper, we want to show the abundance of chaotic systems with absolutely continuous probability measures in the generic regular family with perturbable points. More precisely, we prove that if fa:I→I, a∈P is ...In this paper, we want to show the abundance of chaotic systems with absolutely continuous probability measures in the generic regular family with perturbable points. More precisely, we prove that if fa:I→I, a∈P is a regular family satisfying some conditions described in the next section, then there exists a Borel set Ω(?)P of positive Lebesgue measure such that for every a∈Ω, fa admits an absolutely continuous invariant probability measure w.r.t. the Lebesgue measure. The idea of proof in this paper, as compared with that shown in [1] and [7], follows a similar line.展开更多
This paper discusses a search problem for a Helix target motion in which any information of the target position is not available to the searchers. There exist three searchers start searching for the target from the or...This paper discusses a search problem for a Helix target motion in which any information of the target position is not available to the searchers. There exist three searchers start searching for the target from the origin. The purpose of this paper is to formulate a search model and finds the conditions under which the expected value of the first meeting time between one of the searchers and the target is finite. Also, the existence of the optimal search plan that minimizes the expected value of the first meeting time is shown. Furthermore,this optimal search plan is found. The effectiveness of this method is illustrated by using an example with numerical results.展开更多
In this paper we proceed with the multiscale analysis of semilinear damped stochastic wave motions. The analysis is made by combining the well-known sigma convergence method with its stochastic counterpart, associated...In this paper we proceed with the multiscale analysis of semilinear damped stochastic wave motions. The analysis is made by combining the well-known sigma convergence method with its stochastic counterpart, associated to some compactness results such as the Prokhorov and Skorokhod theorems. We derive the equivalent model, which is of the same type as the micro-model. One of the novelties of the work is that the corrector problem is solved in the classical sense of distributions,thereby allowing numerical computations of the homogenized coefficients.展开更多
The purpose of this paper is to generalize the (classical) Bochner theorem to the case where Radon probability measures are defined on the weak dual spaces of locally convex spaces. We also compare our result with oth...The purpose of this paper is to generalize the (classical) Bochner theorem to the case where Radon probability measures are defined on the weak dual spaces of locally convex spaces. We also compare our result with other topological descriptions of characteristic functionals of probability measures on other infinite dimensional spaces.展开更多
文摘The non-elementary integrals involving elementary exponential, hyperbolic and trigonometric functions, <img src="Edit_699140d3-f569-463e-b835-7ccdab822717.png" width="290" height="22" alt="" /><img src="Edit_bdd10470-9b63-4b2d-9cec-636969547ca5.png" width="90" height="22" alt="" /><span style="white-space:normal;">and <img src="Edit_e9cd6876-e2b8-45cf-ba17-391f054679b4.png" width="90" height="21" alt="" /></span>where <span style="white-space:nowrap;"><em>α</em>,<span style="white-space:nowrap;"><em>η</em></span><em></em></span> and <span style="white-space:nowrap;"><em>β</em></span> are real or complex constants are evaluated in terms of the confluent hypergeometric function <sub>1</sub><em>F</em><sub>1</sub> and the hypergeometric function <sub>1</sub><em>F</em><sub>2</sub>. The hyperbolic and Euler identities are used to derive some identities involving exponential, hyperbolic, trigonometric functions and the hypergeometric functions <sub style="white-space:normal;">1</sub><em style="white-space:normal;">F</em><sub style="white-space:normal;">1</sub> and <sub style="white-space:normal;">1</sub><em style="white-space:normal;">F</em><sub style="white-space:normal;">2</sub>. Having evaluated, these non-elementary integrals, some new probability measures generalizing the gamma-type and Gaussian distributions are also obtained. The obtained generalized probability distributions may, for example, allow to perform better statistical tests than those already known (e.g. chi-square (<span style="white-space:nowrap;"><em>x</em><sup>2</sup></span>) statistical tests and other statistical tests constructed based on the central limit theorem (CLT)), while avoiding the use of computational approximations (or methods) which are in general expensive and associated with numerical errors.
基金Supported by the NSF of China(10571063)Supported by the NSF of Guangdong Province(05006515)
文摘In this paper,a necessary and sufficient condition of a measure to be the product Borel probability measure on the product space of some compact metric spaces are given.
基金National Natural Science Foundation of China (Grant No. 11571144)。
文摘Let μ be an Ahlfors-David probability measure on Rq;therefore,there exist some constants s0> 0 and ε0,C1,C2> 0 such that C1εs0≤μ(B(x,ε))≤C2εs0 for all ε∈(0,ε0) and x ∈ supp(μ).For n≥ 1,let αn be an n-optimal set for μ of order r;furthermore,let {Pa(αn)}a∈αn be an arbitrary Voronoi partition with respect to αn.The n-th quantization error en,r(μ) for μ of order r can be defined as en,rr(μ):=∫ d(x,αn)r dμ(x).We define Ia(αn,μ):=∫Pa(αn) d(x,αn)r dμ(x),a ∈αn,and prove that,the three quantities ■ are of the same order as that of 1/nen,rr(μ).Thus,our result exhibits that,a weak version of Gersho’s conjecture holds true for the Ahlfors-David probability measures on Rq.
文摘The paper deals with multifractal quantities for some types of Radon measures,especially self-similar probability measures,and their relations to Besov spaces.
文摘In this paper,given a compact space X,we construct a continuous mapping from the space Pf(X) of all probability measures on X into the space of maximal linked systems of closed subsets of X.Also,we investigate the behavior of the functional tightness and the local density of topological spaces under the action of the functor Pf:Comp-→Comp.We show that the functor Pf does not change the functional tightness and the local density of compact spaces.
文摘Let S = Pi(i=1)(infinity){0, 1, ..., r - 1} and (R) over bar the general Sierpinski carpet, Let mu be the induced probability measure on (R) over bar of <(mu)over tilde> on S by phi, where phi is the natural surjection from S onto (R) over bar and <(mu)over tilde> is the infinite product probability measure corresponding to probability vector (b(0), ..., b(r-1)) with b(i) = a(i)(logn) (m-1)/m(alpha). Authors show that dim(H) mu = (C) under bar(L)(mu) = (C) over bar(L)(mu) = (C) under bar(mu) = (C) over bar C(mu) = alpha.
基金funded by the National Natural Science Foundation of China(No.12202049)the Beijing Institute of Technology Research Fund Program for Young Scholars,China.
文摘Tracking multiple space objects using multiple surveillance sensors is a critical approach in many Space Situation Awareness(SSA) applications. In this process, the uncertainties of targets,dynamics, and observations are usually represented by the probability distributions. However, precise characterization of uncertainty becomes challenging due to imperfect knowledge about some key aspects, such as birth targets and sensor detection profiles. To overcome this challenge, this paper proposes a multi-sensor possibility PHD filter based on the theory of outer probability measures. An effective compensation method is introduced to tackle variations in the fields of view of SSA sensors or instances of missed detections, aiming to mitigate the inconsistency in localized information. The proposed method is adapted to centralized and distributed sensor networks, offering effective solutions for multi-sensor multi-target tracking. The major innovation of the proposed method compared with typical methods is the proper description of epistemic uncertainty, which yields more robust performance in the scenarios of lacking some information about the system.The effectiveness of the multi-sensor possibility PHD filter is demonstrated by a comparison with conventional methods in two simulated scenarios.
基金Project (No. Y604137) supported by the Natural Science Foundationof Zhejiang Province, China
文摘Exotic options, or “path-dependent” options are options whose payoff depends on the behavior of the price of the underlying between 0 and the maturity, rather than merely on the final price of the underlying, such as compound options, reset options and so on. In this paper, a generalization of the Geske formula for compound call options is obtained in the case of time-dependent volatility and time-dependent interest rate by applying martingale methods and the change of numeraire or the change of probability measure. An analytic formula for the reset call options with predetermined dates is also derived in the case by using the same approach. In contrast to partial differential equation (PDE) approach, our approach is simpler.
基金supported by the National Natural Science Foundation of China(No.NSFC51608446)the Fundamental Research Fund for Central Universities of China(No.3102016ZY015)
文摘Traditional Global Sensitivity Analysis（GSA） focuses on ranking inputs according to their contributions to the output uncertainty.However,information about how the specific regions inside an input affect the output is beyond the traditional GSA techniques.To fully address this issue,in this work,two regional moment-independent importance measures,Regional Importance Measure based on Probability Density Function（RIMPDF） and Regional Importance Measure based on Cumulative Distribution Function（RIMCDF）,are introduced to find out the contributions of specific regions of an input to the whole output distribution.The two regional importance measures prove to be reasonable supplements of the traditional GSA techniques.The ideas of RIMPDF and RIMCDF are applied in two engineering examples to demonstrate that the regional moment-independent importance analysis can add more information concerning the contributions of model inputs.
基金supported by Natural Science Foundation of China(NSFC)under(Grant No.12571179)supported by Natural Science Foundation of China(NSFC)under(Grant No.11871045)key research project of the Academy for Multidisciplinary Studies,Capital Normal University。
文摘In this article,we study the hyperbolic dynamics of geodesic flows on Riemannian(not necessarily compact)manifolds with no conjugate points.By hyperbolic dynamics,we focus on the Anosov Closing Lemma,the local product structure,and the transitivity of the geodesic flows on the set of rank 1 non-wandering setΩ_(1) under the conditions of bounded asymptote and uniform visibility.As an application,we further discuss on some generic properties of the set of invariant probability measures.
文摘In engineering systems,uncertainties in input parameters can significantly influence the output responses.This paper proposes a model distance-based approach to perform global sensitivity analysis for quantifying the influence of input uncertainties on multiple responses in an engineering system.The sensitivity indices are determined by comparing a reference model that incorporates all system uncertainties,with an altered model,where specific uncertainties are constrained.The proposed framework employs probability distance measures such as Hellinger distance,Kullback-Leibler divergence,and I2 norm which are based on joint probability density functions.The study also demonstrates the equivalence between the l2 norm-based approach and Sobol's analysis in multivariate sensitivity context.The proposed methodology effectively manages correlated random variables,accommodates both Gaussian and non-Gaussian distributions,and allows for the grouping of input variables.Ilustrative examples consist of static analysis of a truss system and dynamic analysis of a frame subjected to seismic excitation.The sensitivity indices are estimated using brute-force Monte Carlo simulations.The relative ranking of these sensitivity indices can be utilized to identify the most and least significant variables contributing to the response uncertainty.The numerical results show a consistent ranking of input variables across different probability measures,indicating the robustness of proposed framework.
文摘The main achievement of this paper is the finding and proof of Central Limit Theorem(CLT,see Theorem 12)under the framework of sublinear expectation.Roughly speaking under some reasonable assumption,the random sequence{1/√n(X1+···+Xn)}i∞=1 converges in law to a nonlinear normal distribution,called G-normal distribution,where{Xi}i∞=1 is an i.i.d.sequence under the sublinear expectation.It’s known that the framework of sublinear expectation provides a important role in situations that the probability measure itself has non-negligible uncertainties.Under such situation,this new CLT plays a similar role as the one of classical CLT.The classical CLT can be also directly obtained from this new CLT,since a linear expectation is a special case of sublinear expectations.A deep regularity estimate of 2nd order fully nonlinear parabolic PDE is applied to the proof of the CLT.This paper is originally exhibited in arXiv.(math.PR/0702358v1).
基金Supported by the NSFC and the National 863 Project.
文摘In this paper, we want to show the abundance of chaotic systems with absolutely continuous probability measures in the generic regular family with perturbable points. More precisely, we prove that if fa:I→I, a∈P is a regular family satisfying some conditions described in the next section, then there exists a Borel set Ω(?)P of positive Lebesgue measure such that for every a∈Ω, fa admits an absolutely continuous invariant probability measure w.r.t. the Lebesgue measure. The idea of proof in this paper, as compared with that shown in [1] and [7], follows a similar line.
文摘This paper discusses a search problem for a Helix target motion in which any information of the target position is not available to the searchers. There exist three searchers start searching for the target from the origin. The purpose of this paper is to formulate a search model and finds the conditions under which the expected value of the first meeting time between one of the searchers and the target is finite. Also, the existence of the optimal search plan that minimizes the expected value of the first meeting time is shown. Furthermore,this optimal search plan is found. The effectiveness of this method is illustrated by using an example with numerical results.
文摘In this paper we proceed with the multiscale analysis of semilinear damped stochastic wave motions. The analysis is made by combining the well-known sigma convergence method with its stochastic counterpart, associated to some compactness results such as the Prokhorov and Skorokhod theorems. We derive the equivalent model, which is of the same type as the micro-model. One of the novelties of the work is that the corrector problem is solved in the classical sense of distributions,thereby allowing numerical computations of the homogenized coefficients.
文摘The purpose of this paper is to generalize the (classical) Bochner theorem to the case where Radon probability measures are defined on the weak dual spaces of locally convex spaces. We also compare our result with other topological descriptions of characteristic functionals of probability measures on other infinite dimensional spaces.
