اشترك بالحزمة الذهبية واحصل على وصول غير محدود شمرا أكاديميا
تسجيل مستخدم جديدThe asymptotics of purely atomic one-dimensional Levy approximations
65
0
0.0
(
0
)
اسأل ChatGPT حول البحث
ﻻ يوجد ملخص باللغة العربية
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.
قيم البحث
اقرأ أيضاً
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. Nec
essary 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.
Motivated by the results of cite{sabanis2015}, we propose explicit Euler-type schemes for SDEs with random coefficients driven by Levy noise when the drift and diffusion coefficients can grow super-linearly. As an application of our results, one can
construct explicit Euler-type schemes for SDEs with delays (SDDEs) which are driven by Levy noise and have super-linear coefficients. Strong convergence results are established and their rate of convergence is shown to be equal to that of the classical Euler scheme. It is proved that the optimal rate of convergence is achieved for $mathcal{L}^2$-convergence which is consistent with the corresponding results available in the literature.
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.
Levy-type walks with correlated jumps, induced by the topology of the medium, are studied on a class of one-dimensional deterministic graphs built from generalized Cantor and Smith-Volterra-Cantor sets. The particle performs a standard random walk on
the sets but is also allowed to move ballistically throughout the empty regions. Using scaling relations and the mapping onto the electric network problem, we obtain the exact values of the scaling exponents for the asymptotic return probability, the resistivity and the mean square displacement as a function of the topological parameters of the sets. Interestingly, the systems undergoes a transition from superdiffusive to diffusive behavior as a function of the filling of the fractal. The deterministic topology also allows us to discuss the importance of the choice of the initial condition. In particular, we demonstrate that local and average measurements can display different asymptotic behavior. The analytic results are compared with the numerical solution of the master equation of the process.
In this paper we study a one-dimensional space-discrete transport equation subject to additive Levy forcing. The explicit form of the solutions allows their analytic study. In particular we discuss the invariance of the covariance structure of the st
ationary distribution for Levy perturbations with finite second moment. The situation of more general Levy perturbations lacking the second moment is considered as well. We moreover show that some of the properties of the solutions are pertinent to a discrete system and are not reproduced by its continuous analogue.
سجل دخول لتتمكن من نشر تعليقات
التعليقات
جاري جلب التعليقات
سجل دخول لتتمكن من متابعة معايير البحث التي قمت باختيارها
