The influence of Brownian motion and thermophoresis on a fluid containing nanoparticles flowing over a stretchable cylinder is examined.The classical Navier-Stokes equations are considered in a porous frame.In additio...The influence of Brownian motion and thermophoresis on a fluid containing nanoparticles flowing over a stretchable cylinder is examined.The classical Navier-Stokes equations are considered in a porous frame.In addition,the Lorentz force is taken into account.The controlling coupled nonlinear partial differential equations are transformed into a system of first order ordinary differential equations by means of a similarity transformation.The resulting system of equations is solved by employing a shooting approach properly implemented in MATLAB.The evolution of the boundary layer and the growing velocity is shown graphically together with the related profiles of concentration and temperature.The magnetic field has a different influence(in terms of trends)on velocity and concentration.展开更多
This paper considers the compound Poisson risk model perturbed by Brownian motion with variable premium and dependence between claims amounts and inter-claim times via Spearman copula. It is assumed that the insurance...This paper considers the compound Poisson risk model perturbed by Brownian motion with variable premium and dependence between claims amounts and inter-claim times via Spearman copula. It is assumed that the insurance company’s portfolio is governed by two classes of policyholders. On the one hand, the first class where the amount of claims is high, and on the other hand, the second class where the amount of claims is low, this difference in claim amounts has significant implications for the insurance company’s pricing and risk management strategies. When policyholders are in the first class, they pay an insurance premium of a constant amount c<sub>1</sub> and when they are in the second class, the premium paid is a constant amount c<sub>2</sub> such that c<sub>1 </sub>> c<sub>2</sub>. The nature of claims (low or high) is measured via random thresholds . The study in this work will focus on the determination of the integro-differential equations satisfied by Gerber-Shiu functions and their Laplace transforms in the risk model perturbed by Brownian motion with variable premium and dependence between claims amounts and inter-claim times via Spearman copula. .展开更多
In this paper, by constructing a coupling equation, we establish the Harnack type inequalities for stochastic differential equations driven by fractional Brownian motion with Markovian switching. The Hurst parameter H...In this paper, by constructing a coupling equation, we establish the Harnack type inequalities for stochastic differential equations driven by fractional Brownian motion with Markovian switching. The Hurst parameter H is supposed to be in(1/2, 1). As a direct application, the strong Feller property is presented.展开更多
Some It formulas with respect to mixed Fractional Brownian motion and Brownian motion were given in this paper.These extended the It formula for the fractional Wick It Skorohod integral with respect to Fractiona...Some It formulas with respect to mixed Fractional Brownian motion and Brownian motion were given in this paper.These extended the It formula for the fractional Wick It Skorohod integral with respect to Fractional Brownian motion,meanwhile extended the It formula for It Skorohod integral with respect to Brownian motion.Taylor's formula is applied to prove our conclusion in this article.展开更多
We study in this paper the path properties of the Brownian motion and super-Brownian motion on the fractal structure-the Sierpinski gasket. At first some results about the limiting behaviour of its increments are obta...We study in this paper the path properties of the Brownian motion and super-Brownian motion on the fractal structure-the Sierpinski gasket. At first some results about the limiting behaviour of its increments are obtained and a kind of law of iterated logarithm is proved. Then A Lower bound of the spreading speed of its corresponding super-Brownian motion is obtained.展开更多
Let {S t H, t ≥ 0) be a linear combination of a Brownian motion and an independent sub-fractional Brownian motion with Hurst index 0 〈 H 〈 1. Its main properties are studied. They suggest that SH lies between the ...Let {S t H, t ≥ 0) be a linear combination of a Brownian motion and an independent sub-fractional Brownian motion with Hurst index 0 〈 H 〈 1. Its main properties are studied. They suggest that SH lies between the sub-fractional Brownian motion and the mixed fractional Brownian motion. We also determine the values of H for which SH is not a semi-martingale.展开更多
The problem of laminar fluid flow, which results from the stretching of a vertical surface with variable stream conditions in a nanofluid due to solar energy, is in- vestigated numerically. The model used for the nano...The problem of laminar fluid flow, which results from the stretching of a vertical surface with variable stream conditions in a nanofluid due to solar energy, is in- vestigated numerically. The model used for the nanofluid incorporates the effects of the Brownian motion and thermophoresis in the presence of thermal stratification. The sym- metry groups admitted by the corresponding boundary value problem are obtained by using a special form of Lie group transformations, namely, the scaling group of transfor- mations. An exact solution is obtained for the translation symmetrys, and the numerical solutions are obtained for the scaling symmetry. This solution depends on the Lewis number, the Brownian motion parameter, the thermal stratification parameter, and the thermophoretic parameter. The conclusion is drawn that the flow field, the temperature, and the nanoparticle volume fraction profiles are significantly influenced by these param- eters. Nanofluids have been shown to increase the thermal conductivity and convective heat transfer performance of base liquids. Nanoparticles in the base fluids also offer the potential in improving the radiative properties of the liquids, leading to an increase in the efficiency of direct absorption solar collectors.展开更多
This paper deals with the problems of consistency and strong consistency of the maximum likelihood estimators of the mean and variance of the drift fractional Brownian motions observed at discrete time instants. Both ...This paper deals with the problems of consistency and strong consistency of the maximum likelihood estimators of the mean and variance of the drift fractional Brownian motions observed at discrete time instants. Both the central limit theorem and the Berry-Ess′een bounds for these estimators are obtained by using the Stein’s method via Malliavin calculus.展开更多
In this paper we study p-variation of bifractional Brownian motion. As an applica-tion, we introduce a class of estimators of the parameters of a bifractional Brownian motion andprove that both of them are strongly co...In this paper we study p-variation of bifractional Brownian motion. As an applica-tion, we introduce a class of estimators of the parameters of a bifractional Brownian motion andprove that both of them are strongly consistent; as another application, we investigate fractalnature related to the box dimension of the graph of bifractional Brownian motion.展开更多
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...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.展开更多
In this paper, we consider the power variation of subfractional Brownian mo- tion. As an application, we introduce a class of estimators for the index of a subfractional Brownian motion and show that they are strongly...In this paper, we consider the power variation of subfractional Brownian mo- tion. As an application, we introduce a class of estimators for the index of a subfractional Brownian motion and show that they are strongly consistent.展开更多
A two-dimensional (2D) stochastic incompressible non-Newtonian fluid driven by the genuine cylindrical fractional Brownian motion (FBM) is studied with the Hurst parameter ∈ (1/4,1/2) under the Dirichlet bounda...A two-dimensional (2D) stochastic incompressible non-Newtonian fluid driven by the genuine cylindrical fractional Brownian motion (FBM) is studied with the Hurst parameter ∈ (1/4,1/2) under the Dirichlet boundary condition. The existence and regularity of the stochastic convolution corresponding to the stochastic non-Newtonian fluids are obtained by the estimate on the and the identity of the infinite double series spectrum of the spatial differential operator in the analytic number theory. The existence of the mild solution and the random attractor of a random dynamical system are then obtained for the stochastic non-Newtonian systems with ∈ (1/2,1) without any additional restriction on the parameter H.展开更多
Let Bt be an Ft Brownian motion and Gt be an enlargement of filtration of Ft from some Gaussian random variables. We obtain equations for ht such that Bt ht is a Gt-Brownian motion.
The author proves a central limit theorem for the critical super Brownian motion, which leads to a Gaussian random field. In the transient case the limiting field is the same aa that obtained by Dawson (1977). In the ...The author proves a central limit theorem for the critical super Brownian motion, which leads to a Gaussian random field. In the transient case the limiting field is the same aa that obtained by Dawson (1977). In the recurrent case it is a spatially uniform field. The author also give a central limit theorem for the weighted occupation time of the super Brownian motion with underlying dimension number d less than or equal to 3, completing the results of Iscoe (1986).展开更多
At present, many chaos-based image encryption algorithms have proved to be unsafe, few encryption schemes permute the plain images as three-dimensional(3D) bit matrices, and thus bits cannot move to any position, th...At present, many chaos-based image encryption algorithms have proved to be unsafe, few encryption schemes permute the plain images as three-dimensional(3D) bit matrices, and thus bits cannot move to any position, the movement range of bits are limited, and based on them, in this paper we present a novel image encryption algorithm based on 3D Brownian motion and chaotic systems. The architecture of confusion and diffusion is adopted. Firstly, the plain image is converted into a 3D bit matrix and split into sub blocks. Secondly, block confusion based on 3D Brownian motion(BCB3DBM)is proposed to permute the position of the bits within the sub blocks, and the direction of particle movement is generated by logistic-tent system(LTS). Furthermore, block confusion based on position sequence group(BCBPSG) is introduced, a four-order memristive chaotic system is utilized to give random chaotic sequences, and the chaotic sequences are sorted and a position sequence group is chosen based on the plain image, then the sub blocks are confused. The proposed confusion strategy can change the positions of the bits and modify their weights, and effectively improve the statistical performance of the algorithm. Finally, a pixel level confusion is employed to enhance the encryption effect. The initial values and parameters of chaotic systems are produced by the SHA 256 hash function of the plain image. Simulation results and security analyses illustrate that our algorithm has excellent encryption performance in terms of security and speed.展开更多
In this paper,we investigate the controllability for neutral stochastic evolution equations driven by fractional Brownian motion with Hurst parameter H ∈(1/2,1) in a Hilbert space.We employ the α-norm in order to ...In this paper,we investigate the controllability for neutral stochastic evolution equations driven by fractional Brownian motion with Hurst parameter H ∈(1/2,1) in a Hilbert space.We employ the α-norm in order to reflect the relationship between H and the fractional power α.Sufficient conditions are established by using stochastic analysis theory and operator theory.An example is provided to illustrate the effectiveness of the proposed result.展开更多
Let {X(t), t greater than or equal to 0} be a fractional Brownian motion of order 2 alpha with 0 < alpha < 1,beta > 0 be a real number, alpha(T) be a function of T and 0 < alpha(T), [GRAPHICS] (log T/alpha...Let {X(t), t greater than or equal to 0} be a fractional Brownian motion of order 2 alpha with 0 < alpha < 1,beta > 0 be a real number, alpha(T) be a function of T and 0 < alpha(T), [GRAPHICS] (log T/alpha(T))/log T = r, (0 less than or equal to r less than or equal to infinity). In this paper, we proved that [GRAPHICS] where c(1), c(2) are two positive constants depending only on alpha,beta.展开更多
Define the incremental fractional Brownian field ZH(τ, s) = BH(s+τ) -BH(s),where BH(s) is a standard fractional Brownian motion with Hurst parameter H ∈ (0, 1). Inthis paper, we first derive an exact asy...Define the incremental fractional Brownian field ZH(τ, s) = BH(s+τ) -BH(s),where BH(s) is a standard fractional Brownian motion with Hurst parameter H ∈ (0, 1). Inthis paper, we first derive an exact asymptotic of distribution of the maximum MH(Tu) =supτ∈[0,1],s∈[0,xτu] ZH(τ, s), which holds uniformly for x ∈ [A, B] with A, B two positive con-stants. We apply the findings to analyse the tail asymptotic and limit theorem of MH (τ) witha random index τ. In the end, we also prove an almost sure limit theorem for the maximum M1/2(τ) with non-random index T.展开更多
文摘The influence of Brownian motion and thermophoresis on a fluid containing nanoparticles flowing over a stretchable cylinder is examined.The classical Navier-Stokes equations are considered in a porous frame.In addition,the Lorentz force is taken into account.The controlling coupled nonlinear partial differential equations are transformed into a system of first order ordinary differential equations by means of a similarity transformation.The resulting system of equations is solved by employing a shooting approach properly implemented in MATLAB.The evolution of the boundary layer and the growing velocity is shown graphically together with the related profiles of concentration and temperature.The magnetic field has a different influence(in terms of trends)on velocity and concentration.
文摘This paper considers the compound Poisson risk model perturbed by Brownian motion with variable premium and dependence between claims amounts and inter-claim times via Spearman copula. It is assumed that the insurance company’s portfolio is governed by two classes of policyholders. On the one hand, the first class where the amount of claims is high, and on the other hand, the second class where the amount of claims is low, this difference in claim amounts has significant implications for the insurance company’s pricing and risk management strategies. When policyholders are in the first class, they pay an insurance premium of a constant amount c<sub>1</sub> and when they are in the second class, the premium paid is a constant amount c<sub>2</sub> such that c<sub>1 </sub>> c<sub>2</sub>. The nature of claims (low or high) is measured via random thresholds . The study in this work will focus on the determination of the integro-differential equations satisfied by Gerber-Shiu functions and their Laplace transforms in the risk model perturbed by Brownian motion with variable premium and dependence between claims amounts and inter-claim times via Spearman copula. .
基金The research of L.Yan was partially supported bythe National Natural Science Foundation of China (11971101)The research of Z.Chen was supported by National Natural Science Foundation of China (11971432)+3 种基金the Natural Science Foundation of Zhejiang Province (LY21G010003)supported by the Collaborative Innovation Center of Statistical Data Engineering Technology & Applicationthe Characteristic & Preponderant Discipline of Key Construction Universities in Zhejiang Province (Zhejiang Gongshang University-Statistics)the First Class Discipline of Zhejiang-A (Zhejiang Gongshang University-Statistics)。
文摘In this paper, by constructing a coupling equation, we establish the Harnack type inequalities for stochastic differential equations driven by fractional Brownian motion with Markovian switching. The Hurst parameter H is supposed to be in(1/2, 1). As a direct application, the strong Feller property is presented.
基金Natural Science Foundation of Shanghai,China(No.07ZR14002)National Natural Science Foundation of China(No.60974030)
文摘Some It formulas with respect to mixed Fractional Brownian motion and Brownian motion were given in this paper.These extended the It formula for the fractional Wick It Skorohod integral with respect to Fractional Brownian motion,meanwhile extended the It formula for It Skorohod integral with respect to Brownian motion.Taylor's formula is applied to prove our conclusion in this article.
文摘We study in this paper the path properties of the Brownian motion and super-Brownian motion on the fractal structure-the Sierpinski gasket. At first some results about the limiting behaviour of its increments are obtained and a kind of law of iterated logarithm is proved. Then A Lower bound of the spreading speed of its corresponding super-Brownian motion is obtained.
文摘Let {S t H, t ≥ 0) be a linear combination of a Brownian motion and an independent sub-fractional Brownian motion with Hurst index 0 〈 H 〈 1. Its main properties are studied. They suggest that SH lies between the sub-fractional Brownian motion and the mixed fractional Brownian motion. We also determine the values of H for which SH is not a semi-martingale.
文摘The problem of laminar fluid flow, which results from the stretching of a vertical surface with variable stream conditions in a nanofluid due to solar energy, is in- vestigated numerically. The model used for the nanofluid incorporates the effects of the Brownian motion and thermophoresis in the presence of thermal stratification. The sym- metry groups admitted by the corresponding boundary value problem are obtained by using a special form of Lie group transformations, namely, the scaling group of transfor- mations. An exact solution is obtained for the translation symmetrys, and the numerical solutions are obtained for the scaling symmetry. This solution depends on the Lewis number, the Brownian motion parameter, the thermal stratification parameter, and the thermophoretic parameter. The conclusion is drawn that the flow field, the temperature, and the nanoparticle volume fraction profiles are significantly influenced by these param- eters. Nanofluids have been shown to increase the thermal conductivity and convective heat transfer performance of base liquids. Nanoparticles in the base fluids also offer the potential in improving the radiative properties of the liquids, leading to an increase in the efficiency of direct absorption solar collectors.
基金supported by the National Science Foundations (DMS0504783 DMS0604207)National Science Fund for Distinguished Young Scholars of China (70825005)
文摘This paper deals with the problems of consistency and strong consistency of the maximum likelihood estimators of the mean and variance of the drift fractional Brownian motions observed at discrete time instants. Both the central limit theorem and the Berry-Ess′een bounds for these estimators are obtained by using the Stein’s method via Malliavin calculus.
基金supported by NSFC (11071076)NSFC-NSF (10911120392)
文摘In this paper we study p-variation of bifractional Brownian motion. As an applica-tion, we introduce a class of estimators of the parameters of a bifractional Brownian motion andprove that both of them are strongly consistent; as another application, we investigate fractalnature related to the box dimension of the graph of bifractional Brownian motion.
基金supported by the National Natural Science Foundation of China(11271020)the Distinguished Young Scholars Foundation of Anhui Province(1608085J06)supported by the National Natural Science Foundation of China(11171062)
文摘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.
基金supported by National Natural Science Foundation of China(11271020)Natural Science Foundation of Anhui Province(1208085MA11,1308085QA14)+3 种基金Key Natural Science Foundation of Anhui Educational Committee(KJ2011A139,KJ2012ZD01,KJ2013A133)supported by National Natural Science Foundation of China(11171062)Innovation Program of Shanghai Municipal Education Commission(12ZZ063)supported by Mathematical Tianyuan Foundation of China(11226198)
文摘In this paper, we consider the power variation of subfractional Brownian mo- tion. As an application, we introduce a class of estimators for the index of a subfractional Brownian motion and show that they are strongly consistent.
基金supported by the National Natural Science Foundation of China (No.10971225)the Natural Science Foundation of Hunan Province (No.11JJ3004)the Scientific Research Foundation for the Returned Overseas Chinese Scholars,Ministry of Education of China(No.2009-1001)
文摘A two-dimensional (2D) stochastic incompressible non-Newtonian fluid driven by the genuine cylindrical fractional Brownian motion (FBM) is studied with the Hurst parameter ∈ (1/4,1/2) under the Dirichlet boundary condition. The existence and regularity of the stochastic convolution corresponding to the stochastic non-Newtonian fluids are obtained by the estimate on the and the identity of the infinite double series spectrum of the spatial differential operator in the analytic number theory. The existence of the mild solution and the random attractor of a random dynamical system are then obtained for the stochastic non-Newtonian systems with ∈ (1/2,1) without any additional restriction on the parameter H.
文摘Let Bt be an Ft Brownian motion and Gt be an enlargement of filtration of Ft from some Gaussian random variables. We obtain equations for ht such that Bt ht is a Gt-Brownian motion.
基金the National Natural Science Foundation of China!(No.19361060)and the Mathematical Center of the State Education Commission of
文摘The author proves a central limit theorem for the critical super Brownian motion, which leads to a Gaussian random field. In the transient case the limiting field is the same aa that obtained by Dawson (1977). In the recurrent case it is a spatially uniform field. The author also give a central limit theorem for the weighted occupation time of the super Brownian motion with underlying dimension number d less than or equal to 3, completing the results of Iscoe (1986).
基金Project supported by the National Natural Science Foundation of China(Grant Nos.41571417 and 61305042)the National Science Foundation of the United States(Grant Nos.CNS-1253424 and ECCS-1202225)+4 种基金the Science and Technology Foundation of Henan Province,China(Grant No.152102210048)the Foundation and Frontier Project of Henan Province,China(Grant No.162300410196)China Postdoctoral Science Foundation(Grant No.2016M602235)the Natural Science Foundation of Educational Committee of Henan Province,China(Grant No.14A413015)the Research Foundation of Henan University,China(Grant No.xxjc20140006)
文摘At present, many chaos-based image encryption algorithms have proved to be unsafe, few encryption schemes permute the plain images as three-dimensional(3D) bit matrices, and thus bits cannot move to any position, the movement range of bits are limited, and based on them, in this paper we present a novel image encryption algorithm based on 3D Brownian motion and chaotic systems. The architecture of confusion and diffusion is adopted. Firstly, the plain image is converted into a 3D bit matrix and split into sub blocks. Secondly, block confusion based on 3D Brownian motion(BCB3DBM)is proposed to permute the position of the bits within the sub blocks, and the direction of particle movement is generated by logistic-tent system(LTS). Furthermore, block confusion based on position sequence group(BCBPSG) is introduced, a four-order memristive chaotic system is utilized to give random chaotic sequences, and the chaotic sequences are sorted and a position sequence group is chosen based on the plain image, then the sub blocks are confused. The proposed confusion strategy can change the positions of the bits and modify their weights, and effectively improve the statistical performance of the algorithm. Finally, a pixel level confusion is employed to enhance the encryption effect. The initial values and parameters of chaotic systems are produced by the SHA 256 hash function of the plain image. Simulation results and security analyses illustrate that our algorithm has excellent encryption performance in terms of security and speed.
基金supported by NSFC(11271020,11401010)Natural Science Foundation of Anhui Province(1308085QA14)+1 种基金supported by NSFC(11571071)Innovation Program of Shanghai Municipal Education Commission(12ZZ063)
文摘In this paper,we investigate the controllability for neutral stochastic evolution equations driven by fractional Brownian motion with Hurst parameter H ∈(1/2,1) in a Hilbert space.We employ the α-norm in order to reflect the relationship between H and the fractional power α.Sufficient conditions are established by using stochastic analysis theory and operator theory.An example is provided to illustrate the effectiveness of the proposed result.
文摘Let {X(t), t greater than or equal to 0} be a fractional Brownian motion of order 2 alpha with 0 < alpha < 1,beta > 0 be a real number, alpha(T) be a function of T and 0 < alpha(T), [GRAPHICS] (log T/alpha(T))/log T = r, (0 less than or equal to r less than or equal to infinity). In this paper, we proved that [GRAPHICS] where c(1), c(2) are two positive constants depending only on alpha,beta.
基金supported by National Science Foundation of China(11501250)Natural Science Foundation of Zhejiang Province of China(LQ14A010012,LY15A010019)+2 种基金Postdoctoral Research Program of Zhejiang ProvinceNatural Science Foundation of Jiangsu Higher Education Institution of China(14KJB110023)Research Foundation of SUST
文摘Define the incremental fractional Brownian field ZH(τ, s) = BH(s+τ) -BH(s),where BH(s) is a standard fractional Brownian motion with Hurst parameter H ∈ (0, 1). Inthis paper, we first derive an exact asymptotic of distribution of the maximum MH(Tu) =supτ∈[0,1],s∈[0,xτu] ZH(τ, s), which holds uniformly for x ∈ [A, B] with A, B two positive con-stants. We apply the findings to analyse the tail asymptotic and limit theorem of MH (τ) witha random index τ. In the end, we also prove an almost sure limit theorem for the maximum M1/2(τ) with non-random index T.