On the conditions of convergence of the functional from the sum of independent random variables to the functional from the Wiener process

2021 ◽  
Author(s):  
Alexey Los ◽  
Aleksandr Belov
Keyword(s):  
Wiener Process ◽  
Random Variables ◽  
Independent Random Variables

scholarly journals A remark on Wiener process approximation of risk processes

1972 ◽  
Vol 7 (1) ◽  
pp. 100-101 ◽  
Author(s):  
Jan Grandell
Keyword(s):  
Distribution Function ◽  
Wiener Process ◽  
Random Variables ◽  
Independent Random Variables ◽  
Probability Of Ruin ◽  
Level 1 ◽  
Image Position ◽  
Risk Processes ◽  
Process Approximation

In Bohman the following model is considered. Our notation follows Bohman.Let Z1, Z2, … be a sequence of independent random variables with distribution function F and put Put and define X byX = inf{n; Sn > U, Sk ≤ U for k = 1, …, n − 1}.Bohman shows that if U → ∞ in such a way that U/σ → ∞ and then where G(α, x) is the distribution function for the time when a Wiener process X(t) with EX(t) = αt and Var X(t) = t first crosses the level 1.Let N be an integer, which in a certain sense corresponds to “time”, and consider P(X ≤ N). This is thus the probability of ruin before the N:th claim.

Modified algorithm for fast bandwidth selection for kernel estimates of multidimensional probability densities

2020 ◽  
pp. 9-13
Author(s):  
A. V. Lapko ◽  
V. A. Lapko
Keyword(s):  
Probability Density ◽  
Optimal Parameter ◽  
Random Variables ◽  
Kernel Functions ◽  
Independent Random Variables ◽  
Functional Dependencies ◽  
Approximation Properties ◽  
Probability Density Estimation ◽  
Multidimensional Probability ◽  
Selection Of

An original technique has been justified for the fast bandwidths selection of kernel functions in a nonparametric estimate of the multidimensional probability density of the Rosenblatt–Parzen type. The proposed method makes it possible to significantly increase the computational efficiency of the optimization procedure for kernel probability density estimates in the conditions of large-volume statistical data in comparison with traditional approaches. The basis of the proposed approach is the analysis of the optimal parameter formula for the bandwidths of a multidimensional kernel probability density estimate. Dependencies between the nonlinear functional on the probability density and its derivatives up to the second order inclusive of the antikurtosis coefficients of random variables are found. The bandwidths for each random variable are represented as the product of an undefined parameter and their mean square deviation. The influence of the error in restoring the established functional dependencies on the approximation properties of the kernel probability density estimation is determined. The obtained results are implemented as a method of synthesis and analysis of a fast bandwidths selection of the kernel estimation of the two-dimensional probability density of independent random variables. This method uses data on the quantitative characteristics of a family of lognormal distribution laws.

Methodology of Calculation the Terminal Settling Velocity Distribution of Irregular Particles for High Values of the Reynold’s Number/Metodologia Wyliczania Rozkładu Granicznej Prędkości Opadania Ziaren Nieregularnych Dla Wysokich Wartości Liczb Reynoldsa

2014 ◽  
Vol 59 (2) ◽  
pp. 553-562 ◽  
Author(s):  
Agnieszka Surowiak ◽  
Marian Brożek
Keyword(s):  
Velocity Distribution ◽  
Settling Velocity ◽  
Random Variables ◽  
Independent Random Variables ◽  
Calculation Algorithm ◽  
Shape Coefficient ◽  
Geometrical Properties ◽  
Size And Shape ◽  
Physical Density ◽  
Settling Velocity Distribution

Abstract Settling velocity of particles, which is the main parameter of jig separation, is affected by physical (density) and the geometrical properties (size and shape) of particles. The authors worked out a calculation algorithm of particles settling velocity distribution for irregular particles assuming that the density of particles, their size and shape constitute independent random variables of fixed distributions. Applying theorems of probability, concerning distributions function of random variables, the authors present general formula of probability density function of settling velocity irregular particles for the turbulent motion. The distributions of settling velocity of irregular particles were calculated utilizing industrial sample. The measurements were executed and the histograms of distributions of volume and dynamic shape coefficient, were drawn. The separation accuracy was measured by the change of process imperfection of irregular particles in relation to spherical ones, resulting from the distribution of particles settling velocity.

Ehrenfest urn models

1965 ◽  
Vol 2 (02) ◽  
pp. 352-376 ◽  
Author(s):  
Samuel Karlin ◽  
James McGregor
Keyword(s):  
Exponential Distribution ◽  
Continuous Time ◽  
Random Variables ◽  
Independent Random Variables ◽  
Urn Models ◽  
Time Intervals ◽  
Negative Exponential Distribution ◽  
Negative Exponential ◽  
Random Times

In the Ehrenfest model with continuous time one considers two urns and N balls distributed in the urns. The system is said to be in stateiif there areiballs in urn I, N −iballs in urn II. Events occur at random times and the time intervals T between successive events are independent random variables all with the same negative exponential distributionWhen an event occurs a ball is chosen at random (each of theNballs has probability 1/Nto be chosen), removed from its urn, and then placed in urn I with probabilityp, in urn II with probabilityq= 1 −p, (0 <p< 1).

scholarly journals Some results on the span of families of Banach valued independent, random variables

1991 ◽  
Vol 14 (2) ◽  
pp. 381-384
Author(s):  
Rohan Hemasinha
Keyword(s):  
Banach Space ◽  
Probability Space ◽  
Linear Span ◽  
Random Variables ◽  
Isomorphic Copy ◽  
Independent Random Variables ◽  
Closed Linear Span

LetEbe a Banach space, and let(Ω,ℱ,P)be a probability space. IfL1(Ω)contains an isomorphic copy ofL1[0,1]then inLEP(Ω)(1≤P<∞), the closed linear span of every sequence of independent,Evalued mean zero random variables has infinite codimension. IfEis reflexive orB-convex and1<P<∞then the closed(in LEP(Ω))linear span of any family of independent,Evalued, mean zero random variables is super-reflexive.

scholarly journals Some inequalities of linear combinations of independent random variables: II

Bernoulli ◽  
2013 ◽  
Vol 19 (5A) ◽  
pp. 1776-1789 ◽  
Author(s):  
Xiaoqing Pan ◽  
Maochao Xu ◽  
Taizhong Hu
Keyword(s):  
Random Variables ◽  
Independent Random Variables ◽  
Linear Combinations
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