scholarly journals NUMERICAL EXPERIMENTS FOR THE ESTIMATION OF MEAN DENSITIES OF RANDOM SETS

2014 ◽  
Vol 33 (2) ◽  
pp. 83 ◽  
Author(s):  
Federico Camerlenghi ◽  
Vincenzo Capasso ◽  
Elena Villa
Keyword(s):  
Numerical Experiments ◽  
Random Sets ◽  
Density Estimator ◽  
Absolutely Continuous ◽  
Minkowski Content ◽  
Closed Sets ◽  
Random Closed Sets ◽  
Spatially Inhomogeneous ◽  
The Subject ◽  
Theoretical Results

Many real phenomena may be modelled as random closed sets in ℝd, of different Hausdorff dimensions. The problem of the estimation of pointwise mean densities of absolutely continuous, and spatially inhomogeneous, random sets with Hausdorff dimension n < d, has been the subject of extended mathematical analysis by the authors. In particular, two different kinds of estimators have been recently proposed, the first one is based on the notion of Minkowski content, the second one is a kernel-type estimator generalizing the well-known kernel density estimator for random variables. The specific aim of the present paper is to validate the theoretical results on statistical properties of those estimators by numerical experiments. We provide a set of simulations which illustrates their valuable properties via typical examples of lower dimensional random sets.

Limit theorems for convex hulls of random sets

1993 ◽  
Vol 25 (02) ◽  
pp. 395-414 ◽  
Author(s):  
Ilya S. Molchanov
Keyword(s):  
Limit Theorems ◽  
Random Sets ◽  
Convex Hulls ◽  
Stable Sets ◽  
Limiting Distributions ◽  
Closed Set ◽  
Closed Sets ◽  
Random Closed Sets ◽  
Random Closed Set ◽  
Simple Limit

Let , be i.i.d. random closed sets in . Limit theorems for their normalized convex hulls conv () are proved. The limiting distributions correspond to C-stable random sets. The random closed set A is called C-stable if, for any , the sets anA and conv ( coincide in distribution for certain positive an, compact Kn , and independent copies A 1, …, An of A. The distributions of C-stable sets are characterized via corresponding containment functionals.

scholarly journals Contact lines over random topographical substrates. Part 1. Statics

2011 ◽  
Vol 672 ◽  
pp. 358-383 ◽  
Author(s):  
NIKOS SAVVA ◽  
GRIGORIOS A. PAVLIOTIS ◽  
SERAFIM KALLIADASIS
Keyword(s):  
Numerical Experiments ◽  
Random Variable ◽  
Contact Angles ◽  
Contact Lines ◽  
Substrate Roughness ◽  
Random Functions ◽  
Flat Substrate ◽  
The Subject ◽  
Influence Of Substrate ◽  
Theoretical Results

We investigate theoretically the statistics of the equilibria of two-dimensional droplets over random topographical substrates. The substrates are appropriately represented as families of certain stationary random functions parametrized by a characteristic amplitude and wavenumber. In the limit of shallow topographies and small contact angles, a linearization about the flat-substrate equilibrium reveals that the droplet footprint is adequately approximated by a zero-mean, normally distributed random variable. The theoretical analysis of the statistics of droplet shift along the substrate is highly non-trivial. However, for weakly asymmetric substrates it can be shown analytically that the droplet shift approaches a Cauchy random variable; for fully asymmetric substrates its probability density is obtained via Padé approximants. Generalization to arbitrary stationary random functions does not change qualitatively the behaviour of the statistics with respect to the characteristic amplitude and wavenumber of the substrate. Our theoretical results are verified by numerical experiments, which also suggest that on average a random substrate neither enhances nor reduces droplet wetting. To address the question of the influence of substrate roughness on wetting, a stability analysis of the equilibria must be performed so that we can distinguish between stable and unstable equilibria, which in turn requires modelling the dynamics. This is the subject of Part 2 of this study.

scholarly journals Nonlinear expectations of random sets

2020 ◽  
Vol 25 (1) ◽  
pp. 5-41
Author(s):  
Ilya Molchanov ◽  
Anja Mühlemann
Keyword(s):  
Random Sets ◽  
Linear Spaces ◽  
Infinite Dimensional ◽  
Closed Sets ◽  
Construction Methods ◽  
Dual Representations ◽  
Random Closed Sets ◽  
Sublinear Functionals ◽  
Primal And Dual ◽  
Nonlinear Expectations

AbstractSublinear functionals of random variables are known as sublinear expectations; they are convex homogeneous functionals on infinite-dimensional linear spaces. We extend this concept for set-valued functionals defined on measurable set-valued functions (which form a nonlinear space) or, equivalently, on random closed sets. This calls for a separate study of sublinear and superlinear expectations, since a change of sign does not alter the direction of the inclusion in the set-valued setting.We identify the extremal expectations as those arising from the primal and dual representations of nonlinear expectations. Several general construction methods for nonlinear expectations are presented and the corresponding duality representation results are obtained. On the application side, sublinear expectations are naturally related to depth trimming of multivariate samples, while superlinear ones can be used to assess utilities of multiasset portfolios.

scholarly journals ON MEAN DENSITIES OF INHOMOGENEOUS GEOMETRIC PROCESSES ARISING IN MATERIAL SCIENCE AND MEDICINE

2011 ◽  
Vol 26 (1) ◽  
pp. 23 ◽  
Author(s):  
Vincenzo Capasso ◽  
Elena Villa
Keyword(s):  
Lebesgue Measure ◽  
Absolute Continuity ◽  
Material Science ◽  
Evolution Equations ◽  
Random Sets ◽  
Closed Sets ◽  
Random Closed Sets ◽  
Full Dimension ◽  
Geometric Processes ◽  
Natural Way

The scope of this paper is to offer an overview of the main results obtained by the authors in recent literature in connection with the introduction of a Delta formalism, á la Dirac-Schwartz, for random generalized functions (distributions) associated with random closed sets, having an integer Hausdorff dimension n lower than the full dimension d of the environment space Rd. A concept of absolute continuity of random closed sets arises in a natural way in terms of the absolute continuity of suitable mean content measures, with respect to the usual Lebesgue measure on Rd. Correspondingly mean geometric densities are introduced with respect to the usual Lebesgue measure; approximating sequences are provided, that are of interest for the estimation of mean geometric densities of lower dimensional random sets such as fbre processes, surface processes, etc. Many models in material science and in biomedicine include time evolution of random closed sets, describing birthand-growth processes; the Delta formalism provides a natural framework for deriving evolution equations for mean densities at all (integer) Hausdorff dimensions, in terms of the relevant kinetic parameters.

Limit theorems for convex hulls of random sets

1993 ◽  
Vol 25 (2) ◽  
pp. 395-414 ◽  
Author(s):  
Ilya S. Molchanov
Keyword(s):  
Limit Theorems ◽  
Random Sets ◽  
Convex Hulls ◽  
Stable Sets ◽  
Limiting Distributions ◽  
Closed Set ◽  
Closed Sets ◽  
Random Closed Sets ◽  
Random Closed Set

Let , be i.i.d. random closed sets in . Limit theorems for their normalized convex hulls conv () are proved. The limiting distributions correspond to C-stable random sets. The random closed set A is called C-stable if, for any , the sets anA and conv ( coincide in distribution for certain positive an, compact Kn, and independent copies A1, …, An of A. The distributions of C-stable sets are characterized via corresponding containment functionals.

scholarly journals An Intuitive Introduction to Fractional and Rough Volatilities

Mathematics ◽  
2021 ◽  
Vol 9 (9) ◽  
pp. 994
Author(s):  
Elisa Alòs ◽  
Jorge A. León
Keyword(s):  
Malliavin Calculus ◽  
Numerical Experiments ◽  
Implied Volatility ◽  
Natural Approach ◽  
Volatility Models ◽  
Implied Volatility Surface ◽  
Short Memory ◽  
White Type ◽  
Volatility Surface ◽  
Theoretical Results

Here, we review some results of fractional volatility models, where the volatility is driven by fractional Brownian motion (fBm). In these models, the future average volatility is not a process adapted to the underlying filtration, and fBm is not a semimartingale in general. So, we cannot use the classical Itô’s calculus to explain how the memory properties of fBm allow us to describe some empirical findings of the implied volatility surface through Hull and White type formulas. Thus, Malliavin calculus provides a natural approach to deal with the implied volatility without assuming any particular structure of the volatility. The aim of this paper is to provides the basic tools of Malliavin calculus for the study of fractional volatility models. That is, we explain how the long and short memory of fBm improves the description of the implied volatility. In particular, we consider in detail a model that combines the long and short memory properties of fBm as an example of the approach introduced in this paper. The theoretical results are tested with numerical experiments.

scholarly journals An elementary renewal theorem for random compact convex sets

1995 ◽  
Vol 27 (4) ◽  
pp. 931-942 ◽  
Author(s):  
Ilya S. Molchanov ◽  
Edward Omey ◽  
Eugene Kozarovitzky
Keyword(s):  
Support Function ◽  
Convex Sets ◽  
Compact Convex ◽  
Renewal Function ◽  
Renewal Theorem ◽  
Closed Sets ◽  
Random Closed Sets ◽  
Minkowski Sums ◽  
Image Position ◽  
Unit Vectors

A set-valued analog of the elementary renewal theorem for Minkowski sums of random closed sets is considered. The corresponding renewal function is defined as where are Minkowski (element-wise) sums of i.i.d. random compact convex sets. In this paper we determine the limit of H(tK)/t as t tends to infinity. For K containing the origin as an interior point, where hK(u) is the support function of K and is the set of all unit vectors u with EhA(u) > 0. Other set-valued generalizations of the renewal function are also suggested.

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