Subscribe to the gold package and get unlimited access to Shamra Academy
Register a new userBest finite constrained approximations of one-dimensional probabilities
149
0
0.0
(
0
)
Ask ChatGPT about the research
No Arabic abstract
This paper studies best finitely supported approximations of one-dimensional probability measures with respect to the $L^r$-Kantorovich (or transport) distance, where either the locations or the weights of the approximations atoms are prescribed. Necessary and sufficient optimality conditions are established, and the rate of convergence (as the number of atoms goes to infinity) is discussed. In view of emerging mathematical and statistical applications, special attention is given to the case of best uniform approximations (i.e., all atoms having equal weight). The approach developed in this paper is elementary; it is based on best approximations of (monotone) $L^r$-functions by step functions, and thus different from, yet naturally complementary to, the classical Voronoi partition approach.
rate research
Read More
For arbitrary Borel probability measures on the real line, necessary and sufficient conditions are presented that characterize best purely atomic approximations relative to the classical Levy probability metric, given any number of atoms, and allowing for additional constraints regarding locations or weights of atoms. The precise asymptotics (as the number of atoms goes to infinity) of the approximation error is identified for the important special cases of best uniform (i.e., all atoms having equal weight) and best (unconstrained) approximations, respectively. When compared to similar results known for other probability metrics, the results for Levy approximations are more complete and require fewer assumptions.
Let $X$ be the constrained random walk on ${mathbb Z}_+^d$ representing the queue lengths of a stable Jackson network and $x$ its initial position. Let $tau_n$ be the first time the sum of the components of $X$ equals $n$. $p_n doteq P_x(tau_n < tau_0)$ is a key performance measure for the queueing system represented by $X$, stability implies $p_nrightarrow 0$ exponentially. Currently the only analytic method available to approximate $p_n$ is large deviations analysis, which gives the exponential decay rate of $p_n$. Finer results are available via rare event simulation. The present article develops a new method to approximate $p_n$ and related expectations. The method has two steps: 1) with an affine transformation, move the origin onto the exit boundary of $tau_n$, take limits to remove some of the constraints on the dynamics, this yields a limit unstable constrained walk $Y$ 2) Construct a basis of harmonic functions of $Y$ and use them to apply the classical superposition principle of linear analysis. The basis functions are linear combinations of $log$-linear functions and come from solutions of harmonic systems, which are graphs whose vertices represent points on the characteristic surface of $Y$, the edges between the vertices represent conjugacy relations between the points, the loops represent membership in the boundary characteristic surfaces. Using our method we derive explicit, simple and almost exact formulas for $P_x(tau_n < tau_0)$ for $d$-tandem queues, similar to the product form formulas for the stationary distribution of $X$. The same method allows us to approximate the Balayage operator mapping $f$ to $x rightarrow {mathbb E}_x left[ f(X_{tau_n}) 1_{{tau_n < tau_0}} right]$ for a range of stable constrained random walks in $2$ dimensions. We indicate how the ideas of the paper relate to more general processes and exit boundaries.
Let $X$ be the constrained random walk on $mathbb{Z}_+^d$ $d >2$, having increments $e_1$, $-e_i+e_{i+1}$ $i=1,2,3,...,d-1$ and $-e_d$ with probabilities $lambda$, $mu_1$, $mu_2$,...,$mu_d$, where ${e_1,e_2,..,e_d}$ are the standard basis vectors. The process $X$ is assumed stable, i.e., $lambda < mu_i$ for all $i=1,2,3,...,d.$ Let $tau_n$ be the first time the sum of the components of $X$ equals $n$. We derive approximation formulas for the probability ${mathbb P}_x(tau_n < tau_0)$. For $x in bigcup_{i=1}^d Big{x in {mathbb R}^d_+: sum_{j=1}^{i} x(j)$ $> left(1 - frac{log lambda/min mu_i}{log lambda/mu_i}right) Big}$ and a sequence of initial points $x_n/n rightarrow x$ we show that the relative error of the approximation decays exponentially in $n$. The approximation formula is of the form ${mathbb P}_y(tau < infty)$ where $tau$ is the first time the sum of the components of a limit process $Y$ is $0$; $Y$ is the process $X$ as observed from a point on the exit boundary except that it is unconstrained in its first component (in particular $Y$ is an unstable process); $Y$ and ${mathbb P}_y(tau< infty)$ arise naturally as the limit of an affine transformation of $X$ and the probability ${mathbb P}_x(tau_n < tau_0).$ The analysis of the relative error is based on a new construction of supermartingales. We derive an explicit formula for ${mathbb P}_y(tau < infty)$ in terms of the ratios $lambda/mu_i$ which is based on the concepts of harmonic systems and their solutions and conjugate points on a characteristic surface associated with the process $Y$; the derivation of the formula assumes $mu_i eq mu_j$ for $i eq j.$
We present an alternative to the well-known Andersons formula for the probability that a first exit time from the planar region between two slopping lines -a_1 t -b_1 and a_2 t + b_2 by a standard Brownian motion is greater than T. As the Andersons formula, our representation is an infinite series from special functions. We show that convergence rate of both formulas depends only on terms (a_1 + a_2)(b_1 + b_2) and (b_1 + b_2)^2 /T and deduce simple rules of appropriate representations choose. We prove that for any given set of parameters a_1, b_1, a_2, b_2, T the sum of first 6 terms ensures precision 10^{-16}.
This paper develops asymptotics and approximations for ruin probabilities in a multivariate risk setting. We consider a model in which the individual reserve processes are driven by a common Markovian environmental process. We subsequently consider a regime in which the claim arrival intensity and transition rates of the environmental process are jointly sped up, and one in which there is (with overwhelming probability) maximally one transition of the environmental process in the time interval considered. The approximations are extensively tested in a series of numerical experiments.
Log in to be able to interact and post comments
comments
Fetching comments
Sign in to be able to follow your search criteria
