ON COLLISION LOCAL TIME OF TWO INDEPENDENT FRACTIONAL ORNSTEIN-UHLENBECK PROCESSES

In this article, we study the existence of collision local time of two indepen- dent d-dimensional fractional Ornstein-Uhlenbeck processes X＋^H1 and Xt^H2 with different parameters Hi ∈ （0, 1）,i = 1, 2. Under the canonical framework of white noise analysis, we characterize the collision local time as a Hida distribution and obtain its＇ chaos expansion. Key words Collision local time; fractional Ornstein-Uhlenbeck processes; generalized white noise functionals; choas expansion

LEAST SQUARES ESTIMATION FOR ORNSTEIN-UHLENBECK PROCESSES DRIVEN BY THE WEIGHTED FRACTIONAL BROWNIAN MOTION

In this article, we study a least squares estimator （LSE） of θ for the Ornstein- Uhlenbeck process X0=0,dXt=θXtdt＋dBt^ab, t ≥ 0 driven by weighted fractional Brownian motion B^a,b with parameters a, b. We obtain the consistency and the asymptotic distribution of the LSE based on the observation {Xs, s∈[0,t]} as t tends to infinity.

ERRATUM TO： LEAST SQUARES ESTIMATION FOR ORNSTEIN-UHLENBECK PROCESSES DRIVEN BY THE WEIGHTED FRACTIONAL BROWNIAN MOTION （ACTA MATHEMATICA SCIENTIA 2016,36B （2） ：394-408）

We give a correction of Theorem 2.2 of Shen, Yin and Yan （2016）.

Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes

This paper proposes a minimum contrast methodology to estimate the drift parameter for the Ornstein-Uhlenbeck process driven by fractional Brownian motion of Hurst index, which is greater than one half. Both the strong consistency and the asymptotic normality of this minimum contrast estimator are studied based on the Laplace transform. The numerical simulation results confirm the theoretical analysis and show that the minimum contrast technique is effective and efficient.

Fractional Processing Based Adaptive Beamforming Algorithm

Fractional order algorithms have shown promising results in various signal processing applications due to their ability to improve performance without significantly increasing complexity.The goal of this work is to inves-tigate the use of fractional order algorithm in the field of adaptive beam-forming,with a focus on improving performance while keeping complexity lower.The effectiveness of the algorithm will be studied and evaluated in this context.In this paper,a fractional order least mean square(FLMS)algorithm is proposed for adaptive beamforming in wireless applications for effective utilization of resources.This algorithm aims to improve upon existing beam-forming algorithms,which are inefficient in performance,by offering faster convergence,better accuracy,and comparable computational complexity.The FLMS algorithm uses fractional order gradient in addition to the standard ordered gradient in weight adaptation.The derivation of the algorithm is provided and supported by mathematical convergence analysis.Performance is evaluated through simulations using mean square error(MSE)minimization as a metric and compared with the standard LMS algorithm for various parameters.The results,obtained through Matlab simulations,show that the FLMS algorithm outperforms the standard LMS in terms of convergence speed,beampattern accuracy and scatter plots.FLMS outperforms LMS in terms of convergence speed by 34%.From this,it can be concluded that FLMS is a better candidate for adaptive beamforming and other signal processing applications.

MODERATE DEVIATIONS FOR PARAMETER ESTIMATORS IN FRACTIONAL ORNSTEIN-UHLENBECK PROCESS

We study moderate deviations for estimators of the drift parameter of the fractional Ornstein-Uhlenbeck process. Two moderate deviation principles are obtained.

REMARKS ON SUB-FRACTIONAL BESSEL PROCESSES

Let S = {（St1,···,Std ）}t≥0 denote a d-dimensional sub-fractional Brownian motion with index H ≥ 1/2. In this paper we study some properties of the process X of the formwhere Rt = （（St1）2＋···＋（Std）2）~1/2 is the sub-fractional Bessel process.

Existence and joint continuity of local time of multi-parameter fractional Lévy processes

In this paper, we introduce the definition of a multi-parameter fractional Lévy process and its local time, and show its decomposition. Using the decomposition, we prove existence and joint continuity of its local time.

Decomposition of Supercritical Linear-Fractional Branching Processes

It is well known that a supercritical single-type Bienayme-Galton-Watson process can be viewed as a decomposable branching process formed by two subtypes of particles: those having infinite line of descent and those who have finite number of descendants. In this paper we analyze such a decomposition for the linear-fractional Bienayme-Galton-Watson processes with countably many types. We find explicit expressions for the main characteristics of the reproduction laws for so-called skeleton and doomed particles.

The exact solution of Stokes' second problem including start-up process with fractional element

The start-up process of Stokes＇ second problem of a viscoelastic material with fractional element is studied. The fluid above an infinite flat plane is set in motion by a sudden acceleration of the plate to steady oscillation. Exact solutions are obtained by using Laplace transform and Fourier transform. It is found that the relationship between the first peak value and the one of equal-amplitude oscillations depends on the distance from the plate. The amplitude decreases for increasing frequency and increasing distance.

How to estimate isotope fractionations of a Rayleigh-like but diffusion-limited disequilibrium process?

The Rayleigh distillation isotope fractionation(RDIF) model is one of the most popular methods used in isotope geochemistry. Numerous isotope signals observed in geologic processes have been interpreted with this model. The RDIF model provides a simple mathematic solution for the reservoir-limited equilibrium isotope fractionation effect. Due to the reservoir effect, tremendously large isotope fractionations will always be produced if the reservoir is close to being depleted. However, in real situations, many prerequisites assumed in the RDIF model are often difficult to meet. For instance, it requires the relocated materials, which are removed step by step from one reservoir to another with different isotope compositions(i.e., with isotope fractionation), to be isotopically equilibrated with materials in the first reservoir simultaneously. This ‘‘quick equilibrium requirement’’ is indeed hard to meet if the first reservoir is sufficiently large or the removal step is fast. The whole first reservoir will often fail to re-attain equilibrium in time before the next removal starts.This problem led the RDIF model to fail to interpret isotope signals of many real situations. Here a diffusion-coupled and Rayleigh-like(i.e., reservoir-effect included) separation process is chosen to investigate this problem. We find that the final isotope fractionations are controlled by both the diffusion process and the reservoir effects via the disequilibrium separation process. Due to its complexity, we choose to use a numerical simulation method to solve this problem by developing specific computing codes for the working model.According to our simulation results, the classical RDIF model only governs isotope fractionations correctly at the final stages of separation when the reservoir scale(or thickness of the system) is reduced to the order of magnitude of the quotient of the diffusivity and the separation rate. The RDIF model fails in other situations and the isotope fractionations will be diffusion-limited when the reservoir is relatively large, or the separation rate is fast. We find that the effect of internal isotope distribution inhomogeneity caused by diffusion on the Rayleigh-like separation process is significant and cannot be ignored. This method can be applied to study numerous geologic and planetary processes involving diffusion-limited disequilibrium separation processes including partial melting,evaporation, mineral precipitation, core segregation, etc.Importantly, we find that far more information can be extracted through analyzing isotopic signals of such ‘‘disequilibrium’’processes than those of fully equilibrated ones, e.g., reservoir size and the separation rate. Such information may provide a key to correctly interpreting many isotope signals observed from geochemical and cosmochemical processes.

Parameter Estimation for Complex Ornstein-Uhlenbeck Processes

The drift parameter estimation problem of the complex Ornstein-Uhlenbeck process driven by a complexα-stable motion is considered.Based on discrete observations,an estimator of the unknown drift parameter is constructed by using the least squares method.Moreover,the strong consistency and the asymptotic distribution of the least squares estimator are derived under some assumptions.

LEAST SQUARES TYPE ESTIMATION FOR DISCRETELY OBSERVED NON-ERGODIC GAUSSIAN ORNSTEIN-UHLENBECK PROCESSES

In this article, we consider the drift parameter estimation problem for the nonergodic Ornstein-Uhlenbeck process defined as dXt = OXtdt + dGt, i > 0 with an unknown parameter θ> 0, where G is a Gaussian process. We assume that the process {xt,t≥ 0} is observed at discrete time instants t1=△n,…, tn = n△n, and we construct two least squares type estimators θn and θn for θ on the basis of the discrete observations ,{xti,i= 1,…, n} as →∞. Then, we provide sufficient conditions, based on properties of G, which ensure that θn and θn are strongly consistent and the sequences √n△n(θn-θ) and √n△n(θn-θ) are tight. Our approach offers an elementary proof of [11], which studied the case when G is a fractional Brownian motion with Hurst parameter H∈(1/2, 1). As such, our results extend the recent findings by [11] to the case of general Hurst parameter H∈(0,1). We also apply our approach to study subfractional Ornstein-Uhlenbeck and bifractional Ornstein-Uhlenbeck processes.

Moderate Deviations for Parameter Estimation in the Fractional Ornstein–Uhlenbeck Processes with Periodic Mean

In this paper,we study the asymptotic properties for the drift parameter estimators in the fractional Ornstein-Uhlenbeck process with periodic mean function and long range dependence.The Cremér-type moderate deviations,as well as the moderation deviation principle with explicit rate function can be obtained.

MARTINGALE REPRESENTATION AND LOGARITHMIC-SOBOLEV INEQUALITY FOR THE FRACTIONAL ORNSTEIN-UHLENBECK MEASURE

In this paper,we consider the measure determined by a fractional OrnsteinUhlenbeck process.For such a measure,we establish an explicit form of the martingale representation theorem and consequently obtain an explicit form of the Logarithmic-Sobolev inequality.To this end,we also present the integration by parts formula for such a measure,which is obtained via its pull back formula and the Bismut method.

A time fractional model to represent rainfall process

This paper deals with a stochastic representation of the rainfall process. The analysis of a rainfall time series shows that cumulative representation of a rainfall time series can be modeled as a non-Gaussian random walk with a log-normal jump distribution and a time-waiting distribution following a tempered a-stable probability law. Based on the random walk model, a fractional Fokker-Planck equation （FFPE） with tempered a-stable waiting times was obtained. Through the comparison of observed data and simulated results from the random walk model and FFPE model with tempered a-stable waiting times, it can be concluded that the behavior of the rainfall process is globally reproduced, and the FFPE model with tempered a-stable waiting times is more efficient in reproducing the observed behavior.

Design of Smith Predictor Based Fractional Controller for Higher Order Time Delay Process

Normally all real world process in a process industry will have time delay.For those processes with time delays,obtaining satisfactory closed loop performances becomes very difficult.In this work,three interacting cylindrical tank process is considered for study and the objective of the work is to compensate for time delays using smith predictor structure and to maintain the level in the third tank.Input/Output data is generated for the three interacting tank process.It is approximated as Integer First Order Plus Dead Time system(IFOPDT)and Fractional First Order Plus Dead Time system(FFOPDT).Smith predictor based fractional order Proportional Integral controller and Integer order Proportional Integral controller is designed for the IFOPDT and FFOPDT model using frequency response technique and their closed loop performance indices are compared and tabulated.The servo and regulatory responses are simulated using Matlab/Simulink.

A GENERAL FORM OF THE INCREMENTS OF TWO-PARAMETER FRACTIONAL WIENER PROCESS

A general form of the increments of two-parameter fractional Wiener process is given. The results of Csoergo-Révész increments are a special case,and it also implies the results of the increments of the two-parameter Wiener process.

Zinc isotope fractionation under vaporization processes and in aqueous solutions

Equilibrium Zn isotope fractionation was investigated using first-principles quantum chemistry methods at the B3LYP/6-311G* level. The volume variable cluster model method was used to calculate isotope fractionation factors of sphalerite, smithsonite, calcite, anorthite, forsterite, and enstatite. The water-droplet method was used to calculate Zn isotope fractionation factors of Zn^(2+)-bearing aqueous species; their reduced partition function ratio factors decreased in the order [Zn(H_2O)_6]^(2+)>[ZnCl(H_2O)_5]^+>[ZnCl_2(H_2O)_4]>[ZnCl_3(H_2O)_2]^- >[ ZnCl_4]^(2-). Gaseous ZnCl_2 was also calculated for vaporization processes.Kinetic isotope fractionation of diffusional processes in a vacuum was directly calculated using formulas provided by Richter and co-workers. Our calculations show that in addition to the kinetic isotope effect of diffusional processes,equilibrium isotope fractionation also contributed nontrivially to observed Zn isotope fractionation of vaporization processes. The calculated net Zn isotope fractionation of vaporization processes was 7–7.5%, with ZnCl_2 as the gaseous species. This matches experimental observations of the range of Zn isotope distribution of lunar samples. Therefore,vaporization processes may be the cause of the large distribution of Zn isotope signals found on the Moon. However,we cannot further distinguish the origin of such vaporization processes; it might be due either to igneous rock melting inmeteorite bombardments or to a giant impact event. Furthermore, isotope fractionation between Zn-bearing aqueous species and minerals that we have provided helps explain Zn isotope data in the fields of ore deposits and petrology.

SOME CHARACTERS OF A CLASS OF ORNSTEIN-UHLENBECK TYPE MARKOV PROCESSES WITH STABLE PROCESSES

This article concerns a class of Ornstein-Uhlenbeck type Markov processes and for which the level sets will be approached. By constructing a new class f processes, we shall obtain an inequality on the Hausdorff dimensions of the level sets for the Ornstein-Uhlenbeck type Markov processes. Based on this result, we finally verify that any two independent O-U.M.P with alpha-stable processes could collide with probability one.