In this paper, we propose a hypothesis testing approach to checking model mis-specification in continuous-time stochastic diffusion model. The key idea behind the development of our test statistic is rooted in the gen...In this paper, we propose a hypothesis testing approach to checking model mis-specification in continuous-time stochastic diffusion model. The key idea behind the development of our test statistic is rooted in the generalized information equality in the context of martingale estimating equations. We propose a bootstrap resampling method to implement numerically the proposed diagnostic procedure. Through intensive simulation studies, we show that our approach is well performed in the aspects of type I error control, power improvement as well as computational efficiency.展开更多
A stochastic model of chemical reaction-heat conduction-diffusion for a one-dimensional gaseous system under Dirichlet or zero-fluxes boundary conditions is proposed in this paper. Based on this model,we extend the th...A stochastic model of chemical reaction-heat conduction-diffusion for a one-dimensional gaseous system under Dirichlet or zero-fluxes boundary conditions is proposed in this paper. Based on this model,we extend the theory of the broadening exponent of critical fluctuations to cover the chemical reaction-heat conduction coupling systems as an asymptotic property of the corresponding Markovian master equation (ME),and establish a valid stochastic thermodynamics for such systems. As an illustration,the non-isothermal and inhomogeneous Schl-gl model is explicitly studied. Through an order analysis of the contributions from both the drift and diffusion to the evolution of the probability distribution in the corresponding Fokker-Planck equation(FPE) in the approach to bifurcation,we have identified the critical transition rule for the broadening exponent of the fluctuations due to the coupling between chemical reaction and heat conduction. It turns out that the dissipation induced by the critical fluctuations reaches a deterministic level,leading to a thermodynamic effect on the nonequilibrium physico-chemical processes.展开更多
基金Supported by the Quantitative Finance Foundation of Southwestern University of Finance and Economics
文摘In this paper, we propose a hypothesis testing approach to checking model mis-specification in continuous-time stochastic diffusion model. The key idea behind the development of our test statistic is rooted in the generalized information equality in the context of martingale estimating equations. We propose a bootstrap resampling method to implement numerically the proposed diagnostic procedure. Through intensive simulation studies, we show that our approach is well performed in the aspects of type I error control, power improvement as well as computational efficiency.
基金supported by the National Natural Science Foundation of China (20673074 & 20973119)
文摘A stochastic model of chemical reaction-heat conduction-diffusion for a one-dimensional gaseous system under Dirichlet or zero-fluxes boundary conditions is proposed in this paper. Based on this model,we extend the theory of the broadening exponent of critical fluctuations to cover the chemical reaction-heat conduction coupling systems as an asymptotic property of the corresponding Markovian master equation (ME),and establish a valid stochastic thermodynamics for such systems. As an illustration,the non-isothermal and inhomogeneous Schl-gl model is explicitly studied. Through an order analysis of the contributions from both the drift and diffusion to the evolution of the probability distribution in the corresponding Fokker-Planck equation(FPE) in the approach to bifurcation,we have identified the critical transition rule for the broadening exponent of the fluctuations due to the coupling between chemical reaction and heat conduction. It turns out that the dissipation induced by the critical fluctuations reaches a deterministic level,leading to a thermodynamic effect on the nonequilibrium physico-chemical processes.
