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Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Kolmogorov-Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach
结构断裂 Kolmogorov-Smirnov检验 KS检验 调整范围 自归一化方法
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2023/4/23
A popular self-normalization (SN) approach in time series analysis uses the variance of a partial sum as a self-normalizer. This is known to be sensitive to irregularities such as persistent autocorre...
Log-Harnack Inequality for Gruschin Type Semigroups
Gruschin semigroup log-Harnack inequality coupling regular conditional probability
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2012/6/19
By constructing a coupling in two steps and using the Girsanov theorem under a regular conditional probability, the log-Harnack inequality is established for a large class of Gruschin type semigroups ...
Asymptotic behavior of critical primitive multi-type branching processes with immigration
Asymptotic behavior critical primitive multi-type branching processes immigration Probability
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2012/5/24
Under natural assumptions a Feller type diffusion approximation is derived for critical multi-type branching processes with immigration when the offspring mean matrix is primitive (in other words, pos...
Jump-type Hunt processes generated by lower bounded semi-Dirichlet forms
Jump-type Hunt process semi-Dirichlet form censored pro-cess stable-like process
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2012/4/16
Let $E$ be a locally compact separable metric space and $m$ be a positive Radon measure on it. Given a nonnegative function $k$ defined on $E\times E$ off the diagonal whose anti-symmetric part is ass...
A host-parasite model for a two-type cell population
Cell division branching within branching branching process in random environment host-parasite model
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2012/4/18
A host-parasite model is considered for a population of cells that can be of two types, A or B, and exhibits unilateral reproduction: while a B-cell always splits into two cells of the same type, the ...
A Chernoff-type Lower Bound for the Gaussian Q-function
Chernoff-type Lower Bound the Gaussian Q-function Probability
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2012/3/1
A lower bound for the Gaussian Q-function is presented in the form of a single exponential function with parametric order and weight. The bound combines the simplicity of the classical Chernoff bound ...
Chevet type inequality and norms of submatrices
Chevet type inequality norms of submatrices Probability
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2011/9/15
Abstract: We prove a Chevet type inequality which gives an upper bound for the norm of an isotropic log-concave unconditional random matrix in terms of expectation of the supremum of "symmetric expone...
Binary jumps in continuum. II. Non-equilibrium process and a Vlasov-type scaling limit
continuous system binary jumps non-equilibrium dynamics correlation functions scaling limit Vlasov scaling Poisson measure
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2011/9/15
Abstract: Let $\Gamma$ denote the space of all locally finite subsets (configurations) in $\mathbb R^d$. A stochastic dynamics of binary jumps in continuum is a Markov process on $\Gamma$ in which pai...
Output Stream of single inhibitory neuron with delayed feedback. Fast Cl-type inhibition
Fast Cl-type inhibition inhibitory neuron Output Stream
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2011/10/8
Abstract: A single inhibitory neuron with delayed feedback is considered. The neuron receives an excitatory input from the Poisson stream, and inhibitory impulses from the feedback line with delay. We...
A Lamperti type representation of Continuous-State Branching Processes with Immigration
Levy processes Continuous branching processes with immigration time-change
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2011/1/20
Guided by the relationship between the breadth- rst walk of a rooted tree and its sequence of generation sizes, we extend the Lamperti representation of continuous-state branching processes to allow i...
Ergodicity of Markov Semigroups with Hörmander type generators in Infinite Dimensions
Ergodicity of Markov Semigroups Hö rmander type generators Infinite Dimensions
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2011/1/17
We develop an effective strategy for proving strong ergodicity of (nonsymmetric)Markov semigroups associated to H¨ormander type generators when the underlying configuration space is infinite dimension...
Lindelöf principle for domains in $\CC^2$ of finite type
Several complex variables finite type Lindel¨of principle
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2010/12/15
Recall the Lindel¨of principle for the unit disc in C. In this paper we will show some results about the Lindel¨of principle with admissible convergence for domains in C2 of finite type.
The local properties of the Markov processes of Ornstein-Uhlenbeck type
local time Markov process of Ornstein-Uhlenbeck type L´ evy process
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2010/12/6
We prove the existence of a local time, the continuity of the local time about t, and the regular property for a.e. x ∈ R of a Ornstein-Uhlenbeck type {Xt, t ∈ R+} driven by a general L´evy proc...
Approximating entropy for a class of $\zz^2$ Markov Random Fields and pressure for a class of functions on $\zz^2$ shifts of finite type
multidimensional shifts of finite type Markov random fields
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2010/12/7
For a class of Z2 Markov Random Fields (MRFs) μ, we show that the sequence of successive differences of entropies of induced MRFs on strips of height n converges exponentially fast (in n) to the entro...
Option pricing in multivariate stochastic volatility models of OU type
multivariate stochastic volatility models Ornstein-Uhlenbeck type processes optionpri-cing
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2010/4/27
We present a multivariate stochastic volatility model with leverage, which is flexible enough to recapture the individual dynamics as well as the interdependencies between several assets while still b...