On the probability density function of the product of Rayleigh distributed random variables

In this paper we investigate the distribution of the product of Rayleigh distributed random variables. Considering the Mellin-Barnes inversion formula and using the saddle point approach we obtain an upper bound for the product distribution. The accuracy of this tail-approximation increases as the number of random variables in the product increase.

Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators

This article proposes computing sensitivities of upper tail probabilities of random sums by the saddlepoint approximation. The considered sensitivity is the derivative of the upper tail probability with respect to the parameter of the summation index distribution. Random sums with Poisson or Geometric distributed summation indices and Gamma or Weibull distributed summands are considered. The score method with importance sampling is considered as an alternative approximation. Numerical studies show that the saddlepoint approximation and the method of score with importance sampling are very accurate. But the saddlepoint approximation is substantially faster than the score method with importance sampling. Thus, the suggested saddlepoint approximation can be conveniently used in various scientific problems.

Bounding Standard Gaussian Tail Probabilities

We review various inequalities for Mills' ratio (1 - Φ)= Ø, where Ø and Φ denote the standard Gaussian density and distribution function, respectively. Elementary considerations involving finite continued fractions lead to a general approximation scheme which implies and refines several known bounds.

Detailed analysis of a conservative difference approximation for the time fractional diffusion equation

Diffusion equations that use time fractional derivatives are attractive because they describe a wealth of problems involving non-Markovian Random walks. The time fractional diffusion equation (TFDE) is obtained from the standard diffusion equation by replacing the first-order time derivative with a fractional derivative of order α ∈ (0, 1). Developing numerical methods for solving fractional partial differential equations is a new research field and the theoretical analysis of the numerical methods associated with them is not fully developed. In this paper an explicit conservative difference approximation (ECDA) for TFDE is proposed. We give a detailed analysis for this ECDA and generate discrete models of random walk suitable for simulating random variables whose spatial probability density evolves in time according to this fractional diffusion equation. The stability and convergence of the ECDA for TFDE in a bounded domain are discussed. Finally, some numerical examples are presented to show the application of the present technique.

Implicit difference approximation for the time fractional diffusion equation

In this paper, we consider a time fractional diffusion equation on a finite domain. The equation is obtained from the standard diffusion equation by replacing the first-order time derivative by a fractional derivative (of order $0<\alpha<1$ ). We propose a computationally effective implicit difference approximation to solve the time fractional diffusion equation. Stability and convergence of the method are discussed. We prove that the implicit difference approximation (IDA) is unconditionally stable, and the IDA is convergent with $O(\tau+h^2)$, where $\tau$ and $h$ are time and space steps, respectively. Some numerical examples are presented to show the application of the present technique.

Numerical approximation of a fractional-in-space diffusion equation (II) - with nonhomogeneous boundary conditions

In this paper, a space fractional di®usion equation (SFDE) with non- homogeneous boundary conditions on a bounded domain is considered. A new matrix transfer technique (MTT) for solving the SFDE is proposed. The method is based on a matrix representation of the fractional-in-space operator and the novelty of this approach is that a standard discretisation of the operator leads to a system of linear ODEs with the matrix raised to the same fractional power. Analytic solutions of the SFDE are derived. Finally, some numerical results are given to demonstrate that the MTT is a computationally e±cient and accurate method for solving SFDE.

Some Remarks on the Approximation of Transitional Density in Stochastic Differential Equations

Aijt-Sahalia (2002) introduced a method to estimate transitional probability densities of di®usion processes by means of Hermite expansions with coe±cients determined by means of Taylor series. This note describes a numerical procedure to ¯nd these coe±cients based on the calculation of moments. One advantage of this procedure is that it can be used e®ectively when the mathematical operations required to ¯nd closed-form expressions for these coe±cients are otherwise infeasible.

Relative entropy rate based multiple hidden Markov Model Approximation

This paper proposes a novel relative entropy rate (RER) based approach for multiple HMM (MHMM) approximation of a class of discrete-time uncertain processes. Under different uncertainty assumptions, the model design problem is posed either as a min-max optimisation problem or stochastic minimisation problem on the RER between joint laws describing the state and output processes (rather than the more usual RER between output processes). A suitable filter is proposed for which performance results are established which bound conditional mean estimation performance and show that estimation performance improves as the RER is reduced. These filter consistency and convergence bounds are the first results characterising multiple HMM approximation performance and suggest that joint RER concepts provide a useful model selection criteria. The proposed model design process and MHMM filter are demonstrated on an important image processing dim-target detection problem.

Stability and convergence of a new explicit finite-difference approximation for the variable-order nonlinear fractional diffusion equation

In this paper, we consider the variable-order nonlinear fractional diffusion equation View the MathML source where xRα(x,t) is a generalized Riesz fractional derivative of variable order View the MathML source and the nonlinear reaction term f(u,x,t) satisfies the Lipschitz condition |f(u1,x,t)-f(u2,x,t)|less-than-or-equals, slantL|u1-u2|. A new explicit finite-difference approximation is introduced. The convergence and stability of this approximation are proved. Finally, some numerical examples are provided to show that this method is computationally efficient. The proposed method and techniques are applicable to other variable-order nonlinear fractional differential equations.