The Convergence Rate of Fréchet Distribution under the Second-Order Regular Variation Condition

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.

Variational regularization method of solving the Cauchy problem for Laplace's equation: Innovation of the Grad–Shafranov(GS) reconstruction

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.

Seismic high-resolution processing method based on spectral simulation and total variation regularization constraints

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.

Finite Time Ruin Probability with Variable Interest Rate and Extended Regular Variation

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→∞. Key words variable interest rate - extend regular variation - finite time ruin probability CLC number O 211.9 Foundation item: Supported by the National Natural Science Foundation of China (10071058, 70273029)Biography: WEI Xiao (1979-), female, Ph. D candidate, research direction: large deviations and its applications, insurance mathematics.

ON THE REGULARITY OF THE MINIMUM SOLUTION OF THE RESTRAINED VARIATIONAL PROBLEMS

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.

Identification for the Low-Contrast Image Signal with Regularized Variational Term and Dynamical Saturating Nonlinearity

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.

Total Variation Based Parameter-Free Model for Impulse Noise Removal

We propose a new two-phase method for reconstruction of blurred im-ages corrupted by impulse noise.In the first phase,we use a noise detector to iden-tify the pixels that are contaminated by noise,and then,in the second phase,we reconstruct the noisy pixels by solving an equality constrained total variation mini-mization problem that preserves the exact values of the noise-free pixels.For images that are only corrupted by impulse noise(i.e.,not blurred)we apply the semismooth Newton’s method to a reduced problem,and if the images are also blurred,we solve the equality constrained reconstruction problem using a first-order primal-dual algo-rithm.The proposed model improves the computational efficiency(in the denoising case)and has the advantage of being regularization parameter-free.Our numerical results suggest that the method is competitive in terms of its restoration capabilities with respect to the other two-phase methods.

First and Second Order Asymptotics of the Spectral Risk Measure for Portfolio Loss Under Multivariate Regular Variation

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.

General Regular Variation of n-th Order and the 2nd Order Edgeworth Expansion of the Extreme Value Distribution (Ⅰ)

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.

Lipschitz and Total-Variational Regularization for Blind Deconvolution

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.

General Regular Variation of the n-th Order and 2nd Order Edgeworth Expansions of the Extreme Value Distribution （Ⅱ）

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 Ruin Probability in the Presence of Extended Regular Variation and Optimal Investment

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.

Tail Distortion Risk Measure for Portfolio with Multivariate Regularly Variation

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.

ESTIMATION AND UNCERTAINTY QUANTIFICATION FOR PIECEWISE SMOOTH SIGNAL RECOVERY

This paper presents an application of the sparse Bayesian learning(SBL)algorithm to linear inverse problems with a high order total variation(HOTV)sparsity prior.For the problem of sparse signal recovery,SBL often produces more accurate estimates than maximum a posteriori estimates,including those that useℓ1 regularization.Moreover,rather than a single signal estimate,SBL yields a full posterior density estimate which can be used for uncertainty quantification.However,SBL is only immediately applicable to problems having a direct sparsity prior,or to those that can be formed via synthesis.This paper demonstrates how a problem with an HOTV sparsity prior can be formulated via synthesis,and then utilizes SBL.This expands the class of problems available to Bayesian learning to include,e.g.,inverse problems dealing with the recovery of piecewise smooth functions or signals from data.Numerical examples are provided to demonstrate how this new technique is effectively employed.

An Alternating Direction Method of Multipliers for Inverse Lithography Problem

We propose an alternating direction method of multipliers(ADMM)to solve an optimization problem stemming from inverse lithography.The objective functional of the optimization problem includes three terms:the misfit between the imaging on wafer and the target pattern,the penalty term which ensures the mask is binary and the total variation regularization term.By variable splitting,we introduce an augmented Lagrangian for the original objective functional.In the framework of ADMM method,the optimization problem is divided into several subproblems.Each of the subproblems can be solved efficiently.We give the convergence analysis of the proposed method.Specially,instead of solving the subproblem concerning sigmoid,we solve directly the threshold truncation imaging function which can be solved analytically.We also provide many numerical examples to illustrate the effectiveness of the method.

A contribution to large deviations for heavy-tailed random sums

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.

Ruin probability of the renewal model with risky investment and large claims

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.

Moderate Deviations for Random Sums of Heavy-Tailed Random Variables

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.

The Edgeworth expansion for distributions of extreme values

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.

Ruin probabilities with insurance and financial risks having an FGM dependence structure

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.