RUIN PROBABILITY IN THE CONTINUOUS-TIME COMPOUND BINOMIAL MODEL WITH INVESTMENT

This article deals with the problem of minimizing ruin probability under optimal control for the continuous-time compound binomial model with investment. The jump mechanism in our article is different from that of Liu et al [4]. Comparing with [4], the introduction of the investment, and hence, the additional Brownian motion term, makes the problem technically challenging. To overcome this technical difficulty, the theory of change of measure is used and an exponential martingale is obtained by virtue of the extended generator. The ruin probability is minimized through maximizing adjustment coefficient in the sense of Lundberg bounds. At the same time, the optimal investment strategy is obtained.

Quantum Violation of Bell’s Inequality: A Misunderstanding Based on a Mathematical Error of Neglect

This paper intends to show how the fabled violation of Bell’s inequality by the probabilistic specifications of quantum mechanics derives from a mathematical error, an error of neglect. I have no objection to the probabilities specified by quantum theory, nor to the inequality itself as characterized in the formulation of Clauser, Horne, Shimony, and Holt. Designed to assess consequences of Einstein’s principle of local realism, the inequality pertains to a linear combination of four polarization products on the same pair of photons arising in a gedankenexperiment. My assessment displays that in this context, the summands of the relevant CHSH quantity s(λ) inhere four symmetric functional relations which have long been neglected in analytic considerations. Its expectation E[s(λ)] is not the sum of four “marginal” expectations from a joint distribution, as quantum theory explicitly avoids such a specification. Rather, I show that E[s(λ)] has four distinct representations as the sum of three expectations of polarization products plus the expectation of a fourth which is restricted to equal a function value determined by the other three. Analysis using Bruno de Finetti’s fundamental theorem of prevision (FTP) yields only a bound for E(s) within (1.1213,2] , surely not at all as is commonly understood. I exhibit slices of the 4-dimensional polytope of joint P++ probabilities actually motivated by quantum theory at the four stipulated angle settings, as it passes through 3-dimensional space. Bell’s inequality is satisfied everywhere within the convex hull of extreme distributions cohering with quantum theoretic specifications, even while in keeping with local realism. Aspect’s proposed “estimation” of E(s) near to is based on polarization products from different photon pairs that do not have embedded within them the functional relations inhering in the relevant gedankenexperiment. When one actively embeds the restrictions into Aspect’s estimation procedure, it yields an estimate of 1.7667, although this is not and cannot be definitive. While my analysis supports the subjectivist construction of probability as clarifying issues relevant to the interpretation of quantum theory, the error resolved herein is purely mathematical. It pertains to the reconsideration of Bell violation irrespective of one’s attitude toward the meaning of probability.

Quantum Mysteries for No One

I provide a critical reassessment of David Mermin’s influential and misleading parable, “Quantum Mysteries for Anyone”, identifying its errors and resolving them with a complete analysis of the quantum experiment it is meant to portray. Accessible to popular readership and requiring no knowledge of quantum physics at all, his exposition describes the curious behaviour of a machine that is designed to parody the empirical results of quantum experiments monitoring the spins of a pair of electrons under various conditions. The mysteries are said to unfold from contradictory results produced by a signal process that is proposed to explain them. I find that these results derive from a mathematical error of neglect, coupled with a confusion of two distinct types of experiments under consideration. One of these, a gedankenexperiment, provides the context in which the fabled defiance of Bell’s inequality is thought to emerge. The errors are corrected by the recognition of functional relations embedded within the experimental conditions that have been long unnoticed. A Monte Carlo simulation of results in accord with the actual abstemious claims of quantum theory supports probability values that Mermin decries as unwarranted. However, the distribution it suggests is not definitive, in accord with the expressed agnostic position of quantum theory regarding measurements that cannot be executed. Bounding quantum probabilities are computed for the results of the gedankenexperiment relevant to Bell’s inequality which inspired the parable. The problem is embedded in a 3 × 3 design of Stern-Gerlach magnet orientations at two observation stations. Computational resolution on the basis of Bruno de Finetti’s fundamental theorem of probability requires the evaluation of a battery of three paired linear programming problems. Though technicalities are ornate, the message is clear. There are no mysteries of quantum mechanics that derive from mistaken understandings of Bell’s inequality… for anyone.

Further Investigations of the Aspect/Bell Error: Maximum Entropy Assessment

This article identifies the maximum entropy distribution among those in the polytope of probability distributions cohering with quantum theoretic prescriptions pertinent to Bell’s inequality in the optical context. Perhaps surprisingly, the maxent distribution is not a uniform mixture of the extreme vertices of the convex hull of distributions agreeing with the theory. The expectation E(s) it supports equals 1.1296, within the permitted coherent interval of (1.1213,2]. The maxent mixture of the extreme agreeable vertices is compared herein with two other mixture distributions over the convex hull of those supported by quantum theory. One of these is a simple uniform mixture over the solution vectors to the appropriate linear programming problems that specify the polytope. The other is the mixture underlying simulated results of Aspect’s experiments that have been shown to estimate E(s) as 1.7678. Further computations provide examples of the types of claims that would be entailed in a unique distribution within the cohering convex hull such as maxent. These defy quantum theoretic adherence to the general uncertainty principle which proclaims an agnostic position with respect to imagined joint observation operators that do not commute. They also display questionable implications of the “many worlds” proposal which the author does not favour. The article raises questions that deserve to be discussed concerning the general proposal that the maximum entropy principle should be employed to make precise probabilistic assertions about equilibrium phenomena when specific physical theory prescribes only an interval.

Application of matrix-based system reliability method in complex slopes

Complex slopes are characterized by large numbers of failure modes,cut sets or link sets,or by statistical dependence between the failure modes.For such slopes,a systematic quantitative method,or matrix-based system reliability method,was described and improved for their reliability analysis.A construction formula of event vector c E was suggested to solve the difficulty of identifying any component E in sample space,and event vector c of system events can be calculated based on it,then the bounds of system failure probability can be obtained with the given probability information.The improved method was illustrated for four copper mine slopes with multiple failure modes,and the bounds of system failure probabilities were calculated by self-compiling program on the platform of the software MATLAB.Comparison in results from matrix-based system reliability method and two generic system methods suggests that identical accuracy could be obtained by all methods if there are only a few failure modes in slope system.Otherwise,the bounds by the Ditlevsen method or Cornell method are expanded obviously with the increase of failure modes and their precision can hardly satisfy the requirement of practical engineering while the results from the proposed method are still accurate enough.

Analysis for MIMO correlated frequency-selective channel in the presence of interference

The space time spreading, superimposed training sequences, and space-time coding are used to present a multiple input and multiple output （MIMO） systems model, and a closed-form of average error probability upper bound expression for MIMO correlated frequency-selective channel in the presence of interference （co-channel interference and jamming signals） is derived. Moreover, the correlation at both ends of the wireless link that can be incorporated equivalently into correlation at the transmit end is also derived, which is significant to analyze space-time link algorithm of MIMO systems.

LINEAR PROVABLE SECURITY FOR A CLASS OF UNBALANCED FEISTEL NETWORK

A structure iterated by the unbalanced Feistel networks is introduced. It is showed that this structure is provable resistant against linear attack. The main result of this paper is that the upper bound of r-round （r≥2m） linear hull probabilities are bounded by q^2 when around function F is bijective and the maximal linear hull probabilities of round function F is q. Application of this structure to block cipher designs brings out the provable security against linear attack with the upper bounds of probabilities.

Space-time spreading and space-time coding for correlated frequency-selective channel in the presence of interference

The space-time spreading （SIS）, superimposed training sequences and space-time coding （STC） are adopted to obtain a closed-form of average error probability upper bound and maximum likelihood esti- mation expression for multiple input and multiple output （MIMO） correlated frequency-selective channel in the presence of interference （colored interference）. Moreover, the correlation at both ends of the wire- less link that can be incorporated equivalently into correlation at the transmit end is derived. Finally, the mean square error （MSE） of the maximum likelihood estimate is also derived.

Ruin Probability in Linear Time Series Model

This paper analyzes a continuous time risk model with a linear model used to model the claim process. The time is discretized stochastically using the times when claims occur, using Doob’s stopping time theorem and martingale inequalities to obtain expressions for the ruin probability as well as both expo- nential and non-exponential upper bounds for the ruin probability for an infinite time horizon. Numerical re- sults are included to illustrate the accuracy of the non-exponential bound.

A Symmetric Linearized Alternating Direction Method of Multipliers for a Class of Stochastic Optimization Problems

Alternating direction method of multipliers(ADMM)receives much attention in the recent years due to various demands from machine learning and big data related optimization.In 2013,Ouyang et al.extend the ADMM to the stochastic setting for solving some stochastic optimization problems,inspired by the structural risk minimization principle.In this paper,we consider a stochastic variant of symmetric ADMM,named symmetric stochastic linearized ADMM(SSL-ADMM).In particular,using the framework of variational inequality,we analyze the convergence properties of SSL-ADMM.Moreover,we show that,with high probability,SSL-ADMM has O((ln N)·N^(-1/2))constraint violation bound and objective error bound for convex problems,and has O((ln N)^(2)·N^(-1))constraint violation bound and objective error bound for strongly convex problems,where N is the iteration number.Symmetric ADMM can improve the algorithmic performance compared to classical ADMM,numerical experiments for statistical machine learning show that such an improvement is also present in the stochastic setting.

A note on statistical analysis of factor models of high dimension

Linear factor models are familiar tools used in many fields.Several pioneering literatures established foundational theoretical results of the quasi-maximum likelihood estimator for high-dimensional linear factor models.Their results are based on a critical assumption:The error variance estimators are uniformly bounded in probability.Instead of making such an assumption,we provide a rigorous proof of this result under some mild conditions.