The present paper deals with the problem of nonparametric kernel density estimation of the trend function for stochastic processes driven by fractional Brownian motion of the second kind.The consistency,the rate of co...The present paper deals with the problem of nonparametric kernel density estimation of the trend function for stochastic processes driven by fractional Brownian motion of the second kind.The consistency,the rate of convergence,and the asymptotic normality of the kernel-type estimator are discussed.Besides,we prove that the rate of convergence of the kernel-type estimator depends on the smoothness of the trend of the nonperturbed system.展开更多
This paper is concerned with the stochastically stability for the m-dimensional linear stochastic differential equations with respect to fractional Brownian motion （FBM） with Hurst parameter H ∈ （1/2, 1）. On the ...This paper is concerned with the stochastically stability for the m-dimensional linear stochastic differential equations with respect to fractional Brownian motion （FBM） with Hurst parameter H ∈ （1/2, 1）. On the basis of the pioneering work of Duncan and Hu, a Ito＇s formula is given. An improved derivative operator to Lyapunov functions is constructed, and the sufficient conditions for the stochastically stability of linear stochastic differential equations driven by FBM are established. These extend the stochastic Lyapunov stability theories.展开更多
Network calculus provides new tools for performance analysis of networks, but analyzing networks with complex topologies is a challenging research issue using statistical network calculus. A service model is proposed ...Network calculus provides new tools for performance analysis of networks, but analyzing networks with complex topologies is a challenging research issue using statistical network calculus. A service model is proposed to characterize a service process of network with complex topologies. To obtain closed-form expression of statistical end-to-end performance bounds for a wide range of traffic source models, the traffic model and service model are expanded according to error function. Based on the proposed models, the explicit end-to-end delay bound of Fractional Brownian Motion（FBM） traffic is derived, the factors that affect the delay bound are analyzed, and a comparison between theoretical and simulation results is performed. The results illustrate that the proposed models not only fit the network behaviors well, but also facilitate the network performance analysis.展开更多
In this paper, we investigate the interacting super-Brownian motion depending on population size. This process can be viewed as the high density limit of a sequence of particle systems with branching mechanism dependi...In this paper, we investigate the interacting super-Brownian motion depending on population size. This process can be viewed as the high density limit of a sequence of particle systems with branching mechanism depending on their population size. We will construct a limit function-valued dual process.展开更多
The long-time behavior of a system is suggested to confirm nonergodicity of non-Markovian Brownian dynamics, namely, whether the stationary probability density function （PDF） of the system characterized mainly by lo...The long-time behavior of a system is suggested to confirm nonergodicity of non-Markovian Brownian dynamics, namely, whether the stationary probability density function （PDF） of the system characterized mainly by low moments of variables depends on the initial preparation. Thus we classify nonergodic Brownian motion into two classes： the class-I is that the PDF of a force-free particle depends on the initial velocity and the equilibration can be recovered through a bounded potential; while the PDF in the class-H depends on the initial coordinate and the equilibration can not be approached by introducing any potential. We also compare our result with the conditions of three kinds for ergodicity.展开更多
In this paper, the existence and smoothness of the collision local time are proved for two independent fractional Brownian motions, through L^2 convergence and Chaos expansion. Furthermore, the regularity of the colli...In this paper, the existence and smoothness of the collision local time are proved for two independent fractional Brownian motions, through L^2 convergence and Chaos expansion. Furthermore, the regularity of the collision local time process is studied.展开更多
The author establishes a large deviation for k-dimensional Brownian motion B in stronger topology, by which the functional modulus of continuity for B in Holder norm can be obtained.
Let SH be a sub-fractional Brownian motion with index 0 〈 H 〈 1/2. In this paper we study the existence of the generalized quadratic eovariation [f（SH）, SH]（W） defined by[f（SH）,SH]t（W）=lim ε↓0 1/ ε2H ∫t...Let SH be a sub-fractional Brownian motion with index 0 〈 H 〈 1/2. In this paper we study the existence of the generalized quadratic eovariation [f（SH）, SH]（W） defined by[f（SH）,SH]t（W）=lim ε↓0 1/ ε2H ∫t 0 {f（SH s＋ε）-f（SH s＋ε）-f（SH s）}（SH s＋ε -SH s）ds2H, provided the limit exists in probability, where x → f（x） is a measurable function. We construct a Banach space X of measurable functions such that the generalized quadratic covariation exists in L2 provided f ∈ X. Moreover, the generalized Bouleau-Yor identity takes the form -∫R f（x） H（dx,t）=（2-2 2H-1）[f（SH ）,SH]t（w） for all f ∈ where H （X, t） is the weighted local time of SH. This allows us to write the generalized ItS＇s formula for absolutely continuous functions with derivative belonging to .展开更多
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 stron...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.展开更多
We study a stochastic control system involving both a standard and a fractional Brownian motion with Hurst parameter less than 1/2.We apply an anticipative Girsanov transformation to transform the system into another ...We study a stochastic control system involving both a standard and a fractional Brownian motion with Hurst parameter less than 1/2.We apply an anticipative Girsanov transformation to transform the system into another one,driven only by the standard Brownian motion with coefficients depending on both the fractional Brownian motion and the standard Brownian motion.We derive a maximum principle and the associated stochastic variational inequality,which both are generalizations of the classical case.展开更多
Define the incremental fractional Brownian field with parameter H ∈ （0, 1） by ZH（τ, s） = BH（s-＋τ） - BH（S）, where BH（s） is a fractional Brownian motion with Hurst parameter H ∈ （0, 1）. We firstly deriv...Define the incremental fractional Brownian field with parameter H ∈ （0, 1） by ZH（τ, s） = BH（s-＋τ） - BH（S）, where BH（s） is a fractional Brownian motion with Hurst parameter H ∈ （0, 1）. We firstly derive the exact tail asymptoties for the maximum MH＊（T） = max（τ,s）∈[a,b]×[0,T] ZH（τ, s）/τH of the standardised fractional Brownian motion field, with any fixed 0 〈 a 〈 b 〈 ∞ and T 〉 0; and we, furthermore, extend the obtained result to the ease that T is a positive random variable independent of {BH（s）, s ≥ 0}. As a by-product, we obtain the Gumbel limit law for MH＊r（T） as T →∞.展开更多
This paper considers the estimation of a semiparametric isotonic regression model when the covariates are measured with additive errors and the response is randomly right censored by a censoring time.The authors show ...This paper considers the estimation of a semiparametric isotonic regression model when the covariates are measured with additive errors and the response is randomly right censored by a censoring time.The authors show that the proposed estimator of the regression parameter is rootn consistent and asymptotically normal.The authors also show that the isotonic estimator of the functional component,at a fixed point,is cubic root-n consistent and converges in distribution to the slope at zero of the greatest convex minorant of the sum of a two-sided standard Brownian motion and the square of the time parameter.A simulation study is carried out to investigate the performance of the estimators proposed in this article.展开更多
In this paper,we prove approximations of multifractional Brownian motions with moving-average representations and of those with harmonizable representations in the space of continuous functions on [0,1]. These approxi...In this paper,we prove approximations of multifractional Brownian motions with moving-average representations and of those with harmonizable representations in the space of continuous functions on [0,1]. These approximations are constructed by Poisson processes.展开更多
We obtain a general invariance principle of G-Brownian motion for the law of the iterated logarithm(LIL for short). For continuous bounded independent and identically distributed random variables in G-expectation spac...We obtain a general invariance principle of G-Brownian motion for the law of the iterated logarithm(LIL for short). For continuous bounded independent and identically distributed random variables in G-expectation space, we also give an invariance principle for LIL. In some sense, this result is an extension of the classical Strassen's invariance principle to the case where probability measure is no longer additive. Furthermore,we give some examples as applications.展开更多
This paper discusses a problem of optimal tracking for a linear control system driven by fractional Brownian motion.An equation is obtained for the linear Markov feedback control.The existence and uniqueness of the so...This paper discusses a problem of optimal tracking for a linear control system driven by fractional Brownian motion.An equation is obtained for the linear Markov feedback control.The existence and uniqueness of the solution to the equation are also studied.展开更多
Backward doubly stochastic differential equations driven by Brownian motions and Poisson process （BDSDEP） with non-Lipschitz coefficients on random time interval are studied. The probabilistic interpretation for the...Backward doubly stochastic differential equations driven by Brownian motions and Poisson process （BDSDEP） with non-Lipschitz coefficients on random time interval are studied. The probabilistic interpretation for the solutions to a class of quasilinear stochastic partial differential-integral equations （SPDIEs） is treated with BDSDEP. Under non-Lipschitz conditions, the existence and uniqueness results for measurable solutions to BDSDEP are established via the smoothing technique. Then, the continuous depen- dence for solutions to BDSDEP is derived. Finally, the probabilistic interpretation for the solutions to a class of quasilinear SPDIEs is given.展开更多
基金Supported by the National Natural Science Foundation of China(12101004)the Natural Science Research Project of Anhui Educational Committee(2023AH030021)the Research Startup Foundation for Introducing Talent of Anhui Polytechnic University(2020YQQ064)。
文摘The present paper deals with the problem of nonparametric kernel density estimation of the trend function for stochastic processes driven by fractional Brownian motion of the second kind.The consistency,the rate of convergence,and the asymptotic normality of the kernel-type estimator are discussed.Besides,we prove that the rate of convergence of the kernel-type estimator depends on the smoothness of the trend of the nonperturbed system.
基金Natural Science Foundation of Shanghai,China(No.07ZR14002)
文摘This paper is concerned with the stochastically stability for the m-dimensional linear stochastic differential equations with respect to fractional Brownian motion （FBM） with Hurst parameter H ∈ （1/2, 1）. On the basis of the pioneering work of Duncan and Hu, a Ito＇s formula is given. An improved derivative operator to Lyapunov functions is constructed, and the sufficient conditions for the stochastically stability of linear stochastic differential equations driven by FBM are established. These extend the stochastic Lyapunov stability theories.
基金Supported by the National Natural Science Foundation Major Research Plan of China （No. 90718003）, the National Natural Science Foundation of China （No. 60973027）, and the National High Technology Research and Development Program of China （No. 2007AA01Z401 ）.
文摘Network calculus provides new tools for performance analysis of networks, but analyzing networks with complex topologies is a challenging research issue using statistical network calculus. A service model is proposed to characterize a service process of network with complex topologies. To obtain closed-form expression of statistical end-to-end performance bounds for a wide range of traffic source models, the traffic model and service model are expanded according to error function. Based on the proposed models, the explicit end-to-end delay bound of Fractional Brownian Motion（FBM） traffic is derived, the factors that affect the delay bound are analyzed, and a comparison between theoretical and simulation results is performed. The results illustrate that the proposed models not only fit the network behaviors well, but also facilitate the network performance analysis.
基金Foundation item： Supported by National Natural Science Foundation of China（A10071008） . Acknowledgements Here the author thank Professor Wang Zikun, Li Zhanbing and Li Zenghu sincerely for their guidance and encouragement.
文摘In this paper, we investigate the interacting super-Brownian motion depending on population size. This process can be viewed as the high density limit of a sequence of particle systems with branching mechanism depending on their population size. We will construct a limit function-valued dual process.
基金Supported by the National Natural Science Foundation of China under Grant Nos.10674016, 10875013the Specialized Research Foundation for the Doctoral Program of Higher Education under Grant No.20080027005
文摘The long-time behavior of a system is suggested to confirm nonergodicity of non-Markovian Brownian dynamics, namely, whether the stationary probability density function （PDF） of the system characterized mainly by low moments of variables depends on the initial preparation. Thus we classify nonergodic Brownian motion into two classes： the class-I is that the PDF of a force-free particle depends on the initial velocity and the equilibration can be recovered through a bounded potential; while the PDF in the class-H depends on the initial coordinate and the equilibration can not be approached by introducing any potential. We also compare our result with the conditions of three kinds for ergodicity.
基金the National Natural Science Foundation of China(No. 10471003).
文摘In this paper, the existence and smoothness of the collision local time are proved for two independent fractional Brownian motions, through L^2 convergence and Chaos expansion. Furthermore, the regularity of the collision local time process is studied.
文摘The author establishes a large deviation for k-dimensional Brownian motion B in stronger topology, by which the functional modulus of continuity for B in Holder norm can be obtained.
基金supported by National Natural Science Foundation of China(Grant No.11171062)Innovation Program of Shanghai Municipal Education Commission(Grant No.12ZZ063)
文摘Let SH be a sub-fractional Brownian motion with index 0 〈 H 〈 1/2. In this paper we study the existence of the generalized quadratic eovariation [f（SH）, SH]（W） defined by[f（SH）,SH]t（W）=lim ε↓0 1/ ε2H ∫t 0 {f（SH s＋ε）-f（SH s＋ε）-f（SH s）}（SH s＋ε -SH s）ds2H, provided the limit exists in probability, where x → f（x） is a measurable function. We construct a Banach space X of measurable functions such that the generalized quadratic covariation exists in L2 provided f ∈ X. Moreover, the generalized Bouleau-Yor identity takes the form -∫R f（x） H（dx,t）=（2-2 2H-1）[f（SH ）,SH]t（w） for all f ∈ where H （X, t） is the weighted local time of SH. This allows us to write the generalized ItS＇s formula for absolutely continuous functions with derivative belonging to .
基金National Science Fund for Distinguished Young Scholars of China (Grant No. 70825005)National Natural Science Foundation of China (Grant No. 71171086)+2 种基金Natural Science Foundation of Guangdong Province of China (Grant No. S2011040005723)the Fundamental Research Funds for the Central Universities, SCUT (2012ZM0029)supported by GDUPS(2010)
文摘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.
基金supported by National Natural Science Foundation of China(Grant No11301560)
文摘We study a stochastic control system involving both a standard and a fractional Brownian motion with Hurst parameter less than 1/2.We apply an anticipative Girsanov transformation to transform the system into another one,driven only by the standard Brownian motion with coefficients depending on both the fractional Brownian motion and the standard Brownian motion.We derive a maximum principle and the associated stochastic variational inequality,which both are generalizations of the classical case.
基金supported by National Natural Science Foundation of China(Grant Nos.11326175 and 71471090)Natural Science Foundation of Zhejiang Province of China(Grant No.LQ14A010012)+2 种基金Research Start-up Foundation of Jiaxing University(Grant No.70512021)China Postdoctoral Science Foundation(Grant No.2014T70449)Natural Science Foundation of Jiangsu Province of China(Grant No.BK20131339)
文摘Define the incremental fractional Brownian field with parameter H ∈ （0, 1） by ZH（τ, s） = BH（s-＋τ） - BH（S）, where BH（s） is a fractional Brownian motion with Hurst parameter H ∈ （0, 1）. We firstly derive the exact tail asymptoties for the maximum MH＊（T） = max（τ,s）∈[a,b]×[0,T] ZH（τ, s）/τH of the standardised fractional Brownian motion field, with any fixed 0 〈 a 〈 b 〈 ∞ and T 〉 0; and we, furthermore, extend the obtained result to the ease that T is a positive random variable independent of {BH（s）, s ≥ 0}. As a by-product, we obtain the Gumbel limit law for MH＊r（T） as T →∞.
基金supported by the National Natural Science Foundation of China under Grant No.10971007Foundation of Academic Discipline Program at Central University of Finance and Economics+2 种基金Funding Project of Science and Technology Research Plan of Beijing Education Committee under Grant No.00600054K1002Fund of 211 Project at Central University of Finance and Economics2012 National Project of Statistical Research
文摘This paper considers the estimation of a semiparametric isotonic regression model when the covariates are measured with additive errors and the response is randomly right censored by a censoring time.The authors show that the proposed estimator of the regression parameter is rootn consistent and asymptotically normal.The authors also show that the isotonic estimator of the functional component,at a fixed point,is cubic root-n consistent and converges in distribution to the slope at zero of the greatest convex minorant of the sum of a two-sided standard Brownian motion and the square of the time parameter.A simulation study is carried out to investigate the performance of the estimators proposed in this article.
基金supported by National Natural Science Foundation of China (Grant No. 10901054)
文摘In this paper,we prove approximations of multifractional Brownian motions with moving-average representations and of those with harmonizable representations in the space of continuous functions on [0,1]. These approximations are constructed by Poisson processes.
基金supported by China Postdoctoral Science Foundation(Grant No.2013M541899)the Natural Science Foundation of Shandong Province of China(Grant Nos.ZR2013AQ021 and ZR2014AM002)+1 种基金National Natural Science Foundation of China(Grant Nos.11471190,11401414 and 11231005)the Natural Science Foundation of Jiangsu Province of China(Grant No.BK20140299)
文摘We obtain a general invariance principle of G-Brownian motion for the law of the iterated logarithm(LIL for short). For continuous bounded independent and identically distributed random variables in G-expectation space, we also give an invariance principle for LIL. In some sense, this result is an extension of the classical Strassen's invariance principle to the case where probability measure is no longer additive. Furthermore,we give some examples as applications.
基金partially supported by a grant from the Simons Foundation #209206
文摘This paper discusses a problem of optimal tracking for a linear control system driven by fractional Brownian motion.An equation is obtained for the linear Markov feedback control.The existence and uniqueness of the solution to the equation are also studied.
基金supported by the National Natural Science Foundation of China (Nos. 10771122,11071145)the Shandong Provincial Natural Science Foundation of China (No. Y2006A08)+2 种基金the Foundation for Innovative Research Groups of National Natural Science Foundation of China (No. 10921101)the National Basic Research Program of China (the 973 Program) (No. 2007CB814900)the Independent Innovation Foundation of Shandong University (No. 2010JQ010)
文摘Backward doubly stochastic differential equations driven by Brownian motions and Poisson process （BDSDEP） with non-Lipschitz coefficients on random time interval are studied. The probabilistic interpretation for the solutions to a class of quasilinear stochastic partial differential-integral equations （SPDIEs） is treated with BDSDEP. Under non-Lipschitz conditions, the existence and uniqueness results for measurable solutions to BDSDEP are established via the smoothing technique. Then, the continuous depen- dence for solutions to BDSDEP is derived. Finally, the probabilistic interpretation for the solutions to a class of quasilinear SPDIEs is given.
