First hitting time of integral diffusions and applications

We study the first hitting time of integral functionals of time-homogeneous diffusions, and characterize their Laplace transforms through a stochastic time change. We obtain explicit expressions of the Laplace transforms for the geometric Brownian motion (GBM) and the mean-reverting GBM process. We also introduce a novel probability identity based on an independent exponential randomization and obtain explicit Laplace transforms of the price of arithmetic Asian options and other derivative prices that non-linearly depend on the integral diffusions. Numerical examples are given to demonstrate the accuracy and efficiency of the proposed method.     

Slowing time: Markov-modulated Brownian motions with a sticky boundary

We define a new family of stochastic processes called Markov modulated Brownian motions with a sticky boundary at zero. Intuitively, each process is a regulated Markov-modulated Brownian motion whose boundary behavior is modified to slow down at level zero.

To determine the stationary distribution of a sticky MMBM, we follow a Markov-regenerative approach similar to the one developed with great success in the context of quasi-birth-and-death processes and fluid queues. Our analysis also relies on recent work showing that Markov-modulated Brownian motions arise as limits of a parametrized family of fluid queues.     

Stress and tobacco use among African-American adolescents: the buffering effect of cultural factors

Tobacco is a leading contributor to morbidity and mortality and a primary reason for health disparities among African Americans. In this study we explore the role of stress in smoking and cultural factors that protect against stress among African-American adolescents. Our sample consisted of 239 youth who were recruited into the study while enrolled in 8th and 12th grade. Measures of risk factors (stress, school transition stress, and community disorganization), moderator or protective factors (religious support and intergenerational connections), and 30-day tobacco use were collected. Hierarchical multiple regression analyses were conducted. Intergenerational connections moderated the effect of stress on past 30-day tobacco use. Religious support moderated the effect of neighborhood disorganization on past 30-day tobacco use. Religious support also moderated the effect of stress on past 30-day tobacco use. The findings have implications for prevention efforts to consider religious beliefs and practices and also to link youth with supportive adults in their community.     

Progress on a conjecture regarding the triangular distribution

Triangular distributions are a well-known class of distributions that are often used as an elementary example of a probability model. Maximum likelihood estimation of the mode parameter of the triangular distribution over the unit interval can be performed via an order statistic based method. It had been conjectured that such a method can be conducted using only a constant number of likelihood function evaluations, on average, as the sample size becomes large. We prove two theorems that validate this conjecture. Graphical and numerical results are presented to supplement our proofs.     

Correction to: The impact of parental illness on children’s schooling and labour force participation: evidence from Vietnam

Review of Economics of the Household - The original version of this article unfortunately contained some errors in reference citations and in significance indicators in some of the tables. These...     

Bound and exact methods for assessing link vulnerability in complex networks

Assessing network systems for failures is critical to mitigate the risk and develop proactive responses. In this paper, we investigate devastating consequences of link failures in networks. We propose an exact algorithm and a spectral lower-bound on the minimum number of removed links to incur a significant level of disruption. Our exact solution can identify optimal solutions in both uniform and weighted networks through solving a well-constructed mixed integer program. Also, our spectral lower-bound derives from the Laplacian eigenvalues an estimation on the vulnerability of large networks that are intractable for exact methods. Through experiments on both synthetic and real-world networks, we demonstrate the efficiency of the proposed methods.     

A New Family of BAN Estimators for Polytomous Logistic Regression Models based on ϕ- Divergence Measures

In this paper we study polytomous logistic regression model and the asymptotic properties of the minimum ϕ-divergence estimators for this model. A simulation study is conducted to analyze the behavior of these estimators as function of the power-divergence measure ϕ_(λ) Research partially done when was visiting the Bowling Green State University as the Distinguished Lukacs Professor     

POST-REFORM INDUSTRIAL PRODUCTIVITY PERFORMANCE OF CHINA: NEW EVIDENCE FROM THE 1985 INDUSTRIAL CENSUS DATA

Beginning in the late 1970s, a series of reforms to improve industrial productivity were implemented in China. We estimate changes in productivity growth and identify its sources in the post-reform period 1980-85. Our work is based on the newest and most comprehensive data set available on Chinese industrial activities. Productivity growth estimates are shown to be strongly affected by output specification. Overall, we find sharp increases in productivity growth in the 1984-85 period as compared to the 1980-84 period. Collective and private enterprises show higher output and productivity gains than do state-owned enterprises.