In this article we consider the asymptotic behavior of extreme distribution with the extreme value index γ>0 . The rates of uniform convergence for Fréchet distribution are constructed under the second-order ...In this article we consider the asymptotic behavior of extreme distribution with the extreme value index γ>0 . The rates of uniform convergence for Fréchet distribution are constructed under the second-order regular variation condition.展开更多
Consider an insurance risk model,in which the surplus process satisfies a recursive equationU n=U n?1(1+r n)?X n forn≥1,whereU 0=x≥0 is the initial surplus,{r n;n≥1}the interest rate sequence,{X n;n≥1}the sequence...Consider an insurance risk model,in which the surplus process satisfies a recursive equationU n=U n?1(1+r n)?X n forn≥1,whereU 0=x≥0 is the initial surplus,{r n;n≥1}the interest rate sequence,{X n;n≥1}the sequence of i.i.d.real-valued random variables with common distribution functionF,which denotes the gross loss during thenth year.We investigate the ruin probability within a finite time horizon and give the asymptotic result asx→∞.展开更多
In the context of multivariate regular variation,the authors establish the first-order asymptotics of the spectral risk measure of portfolio loss.Furthermore,by the notion of second-order regular variation,the second-...In the context of multivariate regular variation,the authors establish the first-order asymptotics of the spectral risk measure of portfolio loss.Furthermore,by the notion of second-order regular variation,the second-order asymptotics of the spectral risk measure of portfolio loss is also presented.In order to illustrate the derived results,a numerical example with Monte Carlo simulation is carried out.展开更多
In Part Ⅰ the concept of the general regular variation of n-th order is proposed and its construction is discussed. The uniqueness of the standard expression and the higher order regularity of the auxiliary functions...In Part Ⅰ the concept of the general regular variation of n-th order is proposed and its construction is discussed. The uniqueness of the standard expression and the higher order regularity of the auxiliary functions are proved.展开更多
Considering the classical model with risky investment, we are interested in the ruin probability that is minimized by a suitably chosen investment strategy for a capital market index. For claim sizes with common distr...Considering the classical model with risky investment, we are interested in the ruin probability that is minimized by a suitably chosen investment strategy for a capital market index. For claim sizes with common distribution of extended regular variation, starting from an integro-differential equation for the maximal survival probability, we find that the corresponding ruin probability as a function of the initial surplus is also extended regular variation.展开更多
In this part II the fundamental inequality of the third order general regular variation is proved and the second order Edgeworth expansion of the distribution of the extreme values is discussed.
The simplified linear model of Grad-Shafranov （GS） reconstruction can be reformulated into an inverse boundary value problem of Laplace＇s equation. Therefore, in this paper we focus on the method of solving the inv...The simplified linear model of Grad-Shafranov （GS） reconstruction can be reformulated into an inverse boundary value problem of Laplace＇s equation. Therefore, in this paper we focus on the method of solving the inverse boundary value problem of Laplace＇s equation. In the first place, the variational regularization method is used to deal with the ill- posedness of the Cauchy problem for Laplace＇s equation. Then, the ＇L-Curve＇ principle is suggested to be adopted in choosing the optimal regularization parameter. Finally, a numerical experiment is implemented with a section of Neumann and Dirichlet boundary conditions with observation errors. The results well converge to the exact solution of the problem, which proves the efficiency and robustness of the proposed method. When the order of observation error δ is 10-1, the order of the approximate result error can reach 10-3.展开更多
There is little low-and-high frequency information on seismic data in seismic exploration,resulting in narrower bandwidth and lower seismic resolution.It considerably restricts the prediction accuracy of thin reservoi...There is little low-and-high frequency information on seismic data in seismic exploration,resulting in narrower bandwidth and lower seismic resolution.It considerably restricts the prediction accuracy of thin reservoirs and thin interbeds.This study proposes a novel method to constrain improving seismic resolution in the time and frequency domain.The expected wavelet spectrum is used in the frequency domain to broaden the seismic spectrum range and increase the octave.In the time domain,the Frobenius vector regularization of the Hessian matrix is used to constrain the horizontal continuity of the seismic data.It eff ectively protects the signal-to-noise ratio of seismic data while the longitudinal seismic resolution is improved.This method is applied to actual post-stack seismic data and pre-stack gathers dividedly.Without abolishing the phase characteristics of the original seismic data,the time resolution is signifi cantly improved,and the structural features are clearer.Compared with the traditional spectral simulation and deconvolution methods,the frequency distribution is more reasonable,and seismic data has higher resolution.展开更多
This paper is concerned with the regularity of minimum solution u of the following functional L(u) = integral(Omega) a alpha(beta)(x)g(ij)(u)D alpha u(i)D(beta)upsilon(i)dx on the restraint E = {u is an element of W-0...This paper is concerned with the regularity of minimum solution u of the following functional L(u) = integral(Omega) a alpha(beta)(x)g(ij)(u)D alpha u(i)D(beta)upsilon(i)dx on the restraint E = {u is an element of W-0(1,2) (Omega, R(N))\parallel to u parallel to L(D) = 1}. Under appropriate conditions, the bounded minimum solution u of the above functional is proved to be nothing but Holder continuous.展开更多
The moment estimator has been widely used in extreme value theory in order to estimate the extreme value index, however it is not location invariant. In this paper, based on the moment-type estimator, we propose a new...The moment estimator has been widely used in extreme value theory in order to estimate the extreme value index, however it is not location invariant. In this paper, based on the moment-type estimator, we propose a new location invariant moment-type estimator,and discuss its asymptotic normality under the second order regular variation. Finally, a simulation is presented to compare this new estimator with another location invariant momenttype estimator γn^M（k0, k） proposed by Ling, which indicates that the new estimator has good performances.展开更多
For the multiplicative background risk model,a distortion-type risk measure is used to measure the tail risk of the portfolio under a scenario probability measure with multivariate regular variation.In this paper,we i...For the multiplicative background risk model,a distortion-type risk measure is used to measure the tail risk of the portfolio under a scenario probability measure with multivariate regular variation.In this paper,we investigate the tail asymptotics of the portfolio loss ∑_(i=1)^(d)R_(i)S,where the stand-alone risk vector R=(R_(1),...,R_(d))follows a multivariate regular variation and is independent of the background risk factor S.An explicit asymptotic formula is established for the tail distortion risk measure,and an example is given to illustrate our obtained results.展开更多
In[3],Chan and Wong proposed to use total variational regularization for both images and point spread functions in blind deconvolution.Their experimental results show that the detail of the restored images cannot be r...In[3],Chan and Wong proposed to use total variational regularization for both images and point spread functions in blind deconvolution.Their experimental results show that the detail of the restored images cannot be recovered.In this paper,we consider images in Lipschitz spaces,and propose to use Lipschitz regularization for images and total variational regularization for point spread functions in blind deconvolution.Our experimental results show that such combination of Lipschitz and total variational regularization methods can recover both images and point spread functions quite well.展开更多
In recent years,image processing based on stochastic resonance(SR)has received more and more attention.In this paper,a new model combining dynamical saturating nonlinearity with regularized variational term for enhanc...In recent years,image processing based on stochastic resonance(SR)has received more and more attention.In this paper,a new model combining dynamical saturating nonlinearity with regularized variational term for enhancement of low contrast image is proposed.The regularized variational term can be setting to total variation(TV),second order total generalized variation(TGV)and non-local means(NLM)in order to gradually suppress noise in the process of solving the model.In addition,the new model is tested on a mass of gray-scale images from standard test image and low contrast indoor color images from Low-Light dataset(LOL).By comparing the new model and other traditional image enhancement models,the results demonstrate the enhanced image not only obtain good perceptual quality but also get more excellent value of evaluation index compared with some previous methods.展开更多
In this paper we consider the large deviations for random sums $S(t) = \sum _{i = t}^{N(t)} X_i ,t \geqslant 0$ , whereX n,n?1 are independent, identically distributed and non-negative random variables with a common h...In this paper we consider the large deviations for random sums $S(t) = \sum _{i = t}^{N(t)} X_i ,t \geqslant 0$ , whereX n,n?1 are independent, identically distributed and non-negative random variables with a common heavy-tailed distribution function F, andN(t), t?0 is a process of non-negative integer-valued random variables, independent ofX n,n?1. Under the assumption that the tail of F is of Pareto’s type (regularly or extended regularly varying), we investigate what reasonable condition can be given onN(t), t?0 under which precise large deviation for S( t) holds. In particular, the condition we obtain is satisfied for renewal counting processes.展开更多
Let {Xn;n≥ 1} be a sequence of independent non-negative random variables with common distribution function F having extended regularly varying tail and finite mean μ = E（X1） and let {N（t）; t ≥0} be a random pro...Let {Xn;n≥ 1} be a sequence of independent non-negative random variables with common distribution function F having extended regularly varying tail and finite mean μ = E（X1） and let {N（t）; t ≥0} be a random process taking non-negative integer values with finite mean λ（t） = E（N（t）） and independent of {Xn; n ≥1}. In this paper, asymptotic expressions of P（（X1 ＋… ＋XN（t）） -λ（t）μ 〉 x） uniformly for x ∈[γb（t）, ∞） are obtained, where γ〉 0 and b（t） can be taken to be a positive function with limt→∞ b（t）/λ（t） = 0.展开更多
The ruin probability of the renewal risk model with investment strategy for a capital market index is investigated in this paper.For claim sizes with common distribution of extended regular variation,we study the asym...The ruin probability of the renewal risk model with investment strategy for a capital market index is investigated in this paper.For claim sizes with common distribution of extended regular variation,we study the asymptotic behaviour of the ruin probability.As a corollary,we establish a simple asymptotic formula for the ruin probability for the case of Pareto-like claims.展开更多
We present necessary and sufficient conditions of Edgeworth expansion for distributions of extreme values. As a corollary, rates of the uniform convergence for distributions of extreme values are obtained.
We consider a discrete-time risk model,in which insurance risks and financial risks jointly follow a multivariate Farlie-Gumbel-Morgenstern distribution,and the insurance risks are regularly varying tailed.Explicit as...We consider a discrete-time risk model,in which insurance risks and financial risks jointly follow a multivariate Farlie-Gumbel-Morgenstern distribution,and the insurance risks are regularly varying tailed.Explicit asymptotic formulae are obtained for finite-time and infinite-time ruin probabilities.Some numerical results are also presented to illustrate the accuracy of our asymptotic formulae.展开更多
Subject to the assumption that the common distribution of claim sizes belongs to the extendedregular variation class,the present work obtains a simple asymptotic formula for the ruin probability within arandom or nonr...Subject to the assumption that the common distribution of claim sizes belongs to the extendedregular variation class,the present work obtains a simple asymptotic formula for the ruin probability within arandom or nonrandom horizon in the renewal model.展开更多
Considering an insurer who is allowed to make risk-free and risky investments, as in Tang et al.(2010), the price process of the investment portfolio is described as a geometric L′evy process. We study the tail proba...Considering an insurer who is allowed to make risk-free and risky investments, as in Tang et al.(2010), the price process of the investment portfolio is described as a geometric L′evy process. We study the tail probability of the stochastic present value of future aggregate claims. When the claim-size distribution is of extended regular variation, we obtain an asymptotically equivalent formula which holds uniformly for all time horizons, and furthermore, the same asymptotic formula holds for the finite-time ruin probabilities. The results extend the works of Tang et al.(2010).展开更多
文摘In this article we consider the asymptotic behavior of extreme distribution with the extreme value index γ>0 . The rates of uniform convergence for Fréchet distribution are constructed under the second-order regular variation condition.
基金Supported by the NationalNatural Science Foun-dation of China(10071058,70273029)
文摘Consider an insurance risk model,in which the surplus process satisfies a recursive equationU n=U n?1(1+r n)?X n forn≥1,whereU 0=x≥0 is the initial surplus,{r n;n≥1}the interest rate sequence,{X n;n≥1}the sequence of i.i.d.real-valued random variables with common distribution functionF,which denotes the gross loss during thenth year.We investigate the ruin probability within a finite time horizon and give the asymptotic result asx→∞.
基金supported by the Important Natural Science Foundation of Colleges and Universities of Anhui Province under Grant No.KJ2020A0122the Scientific Research Start-up Foundation of Hefei Normal University。
文摘In the context of multivariate regular variation,the authors establish the first-order asymptotics of the spectral risk measure of portfolio loss.Furthermore,by the notion of second-order regular variation,the second-order asymptotics of the spectral risk measure of portfolio loss is also presented.In order to illustrate the derived results,a numerical example with Monte Carlo simulation is carried out.
文摘In Part Ⅰ the concept of the general regular variation of n-th order is proposed and its construction is discussed. The uniqueness of the standard expression and the higher order regularity of the auxiliary functions are proved.
基金Supported by the National Natural Science Foundation of China(No.10571167,No.70501028)Beijing Sustentation Fund for Elitist(Grant No.20071D1600800421)National Social Science Foundation of China(Grant No.05&ZD008).
文摘Considering the classical model with risky investment, we are interested in the ruin probability that is minimized by a suitably chosen investment strategy for a capital market index. For claim sizes with common distribution of extended regular variation, starting from an integro-differential equation for the maximal survival probability, we find that the corresponding ruin probability as a function of the initial surplus is also extended regular variation.
基金This work supported by the National Natural Science Foundation of China （Grand No. 10071003）
文摘In this part II the fundamental inequality of the third order general regular variation is proved and the second order Edgeworth expansion of the distribution of the extreme values is discussed.
基金Project supported by the National Natural Science Foundation of China(Grant No.41175025)
文摘The simplified linear model of Grad-Shafranov （GS） reconstruction can be reformulated into an inverse boundary value problem of Laplace＇s equation. Therefore, in this paper we focus on the method of solving the inverse boundary value problem of Laplace＇s equation. In the first place, the variational regularization method is used to deal with the ill- posedness of the Cauchy problem for Laplace＇s equation. Then, the ＇L-Curve＇ principle is suggested to be adopted in choosing the optimal regularization parameter. Finally, a numerical experiment is implemented with a section of Neumann and Dirichlet boundary conditions with observation errors. The results well converge to the exact solution of the problem, which proves the efficiency and robustness of the proposed method. When the order of observation error δ is 10-1, the order of the approximate result error can reach 10-3.
基金supported by the PetroChina Prospective,Basic,and Strategic Technology Research Project(No.2021DJ0606).
文摘There is little low-and-high frequency information on seismic data in seismic exploration,resulting in narrower bandwidth and lower seismic resolution.It considerably restricts the prediction accuracy of thin reservoirs and thin interbeds.This study proposes a novel method to constrain improving seismic resolution in the time and frequency domain.The expected wavelet spectrum is used in the frequency domain to broaden the seismic spectrum range and increase the octave.In the time domain,the Frobenius vector regularization of the Hessian matrix is used to constrain the horizontal continuity of the seismic data.It eff ectively protects the signal-to-noise ratio of seismic data while the longitudinal seismic resolution is improved.This method is applied to actual post-stack seismic data and pre-stack gathers dividedly.Without abolishing the phase characteristics of the original seismic data,the time resolution is signifi cantly improved,and the structural features are clearer.Compared with the traditional spectral simulation and deconvolution methods,the frequency distribution is more reasonable,and seismic data has higher resolution.
文摘This paper is concerned with the regularity of minimum solution u of the following functional L(u) = integral(Omega) a alpha(beta)(x)g(ij)(u)D alpha u(i)D(beta)upsilon(i)dx on the restraint E = {u is an element of W-0(1,2) (Omega, R(N))\parallel to u parallel to L(D) = 1}. Under appropriate conditions, the bounded minimum solution u of the above functional is proved to be nothing but Holder continuous.
基金Supported by the National Social Science Foundation of China(Grant No.15BJY164)
文摘The moment estimator has been widely used in extreme value theory in order to estimate the extreme value index, however it is not location invariant. In this paper, based on the moment-type estimator, we propose a new location invariant moment-type estimator,and discuss its asymptotic normality under the second order regular variation. Finally, a simulation is presented to compare this new estimator with another location invariant momenttype estimator γn^M（k0, k） proposed by Ling, which indicates that the new estimator has good performances.
基金supported by the National Key Research and Development Plan(No.2016YFC0800100)the NSFC of China(Nos.11671374,71771203,71631006).
文摘For the multiplicative background risk model,a distortion-type risk measure is used to measure the tail risk of the portfolio under a scenario probability measure with multivariate regular variation.In this paper,we investigate the tail asymptotics of the portfolio loss ∑_(i=1)^(d)R_(i)S,where the stand-alone risk vector R=(R_(1),...,R_(d))follows a multivariate regular variation and is independent of the background risk factor S.An explicit asymptotic formula is established for the tail distortion risk measure,and an example is given to illustrate our obtained results.
基金This research is supported in part by RGC 7046/03P,7035/04P,7035/05P and HKBU FRGs.
文摘In[3],Chan and Wong proposed to use total variational regularization for both images and point spread functions in blind deconvolution.Their experimental results show that the detail of the restored images cannot be recovered.In this paper,we consider images in Lipschitz spaces,and propose to use Lipschitz regularization for images and total variational regularization for point spread functions in blind deconvolution.Our experimental results show that such combination of Lipschitz and total variational regularization methods can recover both images and point spread functions quite well.
基金supported by the National Natural Science Foundation of China under Grant Nos. 61501276,61772294 and 61973179the China Postdoctoral Science Foundation under Grant No. 2016M592139the Qingdao Postdoctoral Applied Research Project under Grant No. 2015120
文摘In recent years,image processing based on stochastic resonance(SR)has received more and more attention.In this paper,a new model combining dynamical saturating nonlinearity with regularized variational term for enhancement of low contrast image is proposed.The regularized variational term can be setting to total variation(TV),second order total generalized variation(TGV)and non-local means(NLM)in order to gradually suppress noise in the process of solving the model.In addition,the new model is tested on a mass of gray-scale images from standard test image and low contrast indoor color images from Low-Light dataset(LOL).By comparing the new model and other traditional image enhancement models,the results demonstrate the enhanced image not only obtain good perceptual quality but also get more excellent value of evaluation index compared with some previous methods.
基金This work was supported by the National Natural Science Foundation of China (Grant No. 10071081) .
文摘In this paper we consider the large deviations for random sums $S(t) = \sum _{i = t}^{N(t)} X_i ,t \geqslant 0$ , whereX n,n?1 are independent, identically distributed and non-negative random variables with a common heavy-tailed distribution function F, andN(t), t?0 is a process of non-negative integer-valued random variables, independent ofX n,n?1. Under the assumption that the tail of F is of Pareto’s type (regularly or extended regularly varying), we investigate what reasonable condition can be given onN(t), t?0 under which precise large deviation for S( t) holds. In particular, the condition we obtain is satisfied for renewal counting processes.
基金Research supported by NSFC(No.10271091,10571139)
文摘Let {Xn;n≥ 1} be a sequence of independent non-negative random variables with common distribution function F having extended regularly varying tail and finite mean μ = E（X1） and let {N（t）; t ≥0} be a random process taking non-negative integer values with finite mean λ（t） = E（N（t）） and independent of {Xn; n ≥1}. In this paper, asymptotic expressions of P（（X1 ＋… ＋XN（t）） -λ（t）μ 〉 x） uniformly for x ∈[γb（t）, ∞） are obtained, where γ〉 0 and b（t） can be taken to be a positive function with limt→∞ b（t）/λ（t） = 0.
基金supported by National Natural Science Foundation of China (Grant Nos.10571167,70501028)the Beijing Sustentation Fund for Elitist (Grant No.20071D1600800421)+1 种基金the National Social Science Foundation of China (Grant No.05&ZD008)the Research Grant of Renmin University of China (Grant No.08XNA001)
文摘The ruin probability of the renewal risk model with investment strategy for a capital market index is investigated in this paper.For claim sizes with common distribution of extended regular variation,we study the asymptotic behaviour of the ruin probability.As a corollary,we establish a simple asymptotic formula for the ruin probability for the case of Pareto-like claims.
基金This work was supported by the National Natural Science Foundation of China (Grant No. 19771004) Education Foundation of Yunnan Province .
文摘We present necessary and sufficient conditions of Edgeworth expansion for distributions of extreme values. As a corollary, rates of the uniform convergence for distributions of extreme values are obtained.
基金supported by National Natural Science Foundation of China(Grant Nos.10801124 and 11171321)the Fundamental Research Funds for the Central Universities(GrantNo.WK 2040170006)
文摘We consider a discrete-time risk model,in which insurance risks and financial risks jointly follow a multivariate Farlie-Gumbel-Morgenstern distribution,and the insurance risks are regularly varying tailed.Explicit asymptotic formulae are obtained for finite-time and infinite-time ruin probabilities.Some numerical results are also presented to illustrate the accuracy of our asymptotic formulae.
基金Supported by the National Statistical Science Research Project (No.LX0317)
文摘Subject to the assumption that the common distribution of claim sizes belongs to the extendedregular variation class,the present work obtains a simple asymptotic formula for the ruin probability within arandom or nonrandom horizon in the renewal model.
基金supported by National Natural Science Foundation of China(Grant Nos.11171001,11271193 and 11171065)Planning Foundation of Humanities and Social Sciences of Chinese Ministry of Education(Grant Nos.11YJA910004 and 12YJCZH128)Natural Science Foundation of the Jiangsu Higher Education Institutions of China(Grant No.13KJD110004)
文摘Considering an insurer who is allowed to make risk-free and risky investments, as in Tang et al.(2010), the price process of the investment portfolio is described as a geometric L′evy process. We study the tail probability of the stochastic present value of future aggregate claims. When the claim-size distribution is of extended regular variation, we obtain an asymptotically equivalent formula which holds uniformly for all time horizons, and furthermore, the same asymptotic formula holds for the finite-time ruin probabilities. The results extend the works of Tang et al.(2010).
