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作者：Alpern, Steve; Lidbetter, Thomas
作者单位：University of Warwick; University of London; London School Economics & Political Science
摘要：A point lies on a network according to some unknown probability distribution. Starting at a specified root of the network, a Searcher moves to find this point at speeds that depend on his location and direction. He seeks the randomized search algorithm that minimizes the expected search time. This is equivalent to modeling the problem as a zero-sum hide-and-seek game whose value is called the search value of the network. We make a new and direct derivation of an explicit formula for the search...
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作者：He, Simai; Jiang, Bo; Li, Zhening; Zhang, Shuzhong
作者单位：City University of Hong Kong; Shanghai University of Finance & Economics; University of Portsmouth; University of Minnesota System; University of Minnesota Twin Cities
摘要：Random sampling is a simple but powerful method in statistics and in the design of randomized algorithms. In a typical application, random sampling can be applied to estimate an extreme value, say maximum, of a function f over a set S subset of R-n. To do so, one may select a simpler (even finite) subset S-0 subset of S, randomly take some samples over S-0 for a number of times, and pick the best sample. The hope is to find a good approximate solution with reasonable chance. This paper sets ou...
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作者：Hildebrand, Roland
摘要：On the interior of a regular convex cone K in n-dimensional real space there exist two canonical Hessian metrics, the one generated by the logarithm of the characteristic function, and the Cheng-Yau metric. The former is associated with a self-concordant logarithmically homogeneous barrier on K, the universal barrier. It is invariant with respect to the unimodular automorphism subgroup of K and is compatible with the operation of taking product cones, but in general it does not behave well und...
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作者：Oliu-Barton, Miquel
作者单位：Universite Paris Cite; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Sorbonne Universite
摘要：Bewley and Kohlberg [Bewley T, Kohlberg E (1976) The asymptotic theory of stochastic games. Math. Oper. Res. 1: 197-208] proved that the discounted values of finite zero-sum stochastic games have a limit, as the discount factor tends to zero, using the Tarski-Seidenberg elimination theorem from real algebraic geometry. This was a fundamental step in the development of the theory of stochastic games. The current paper provides a new and direct proof for this result, relying on the explicit desc...
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作者：Biswas, Anup
作者单位：Technion Israel Institute of Technology
摘要：A G/M/N queue is considered in the moderate deviation heavy traffic regime. The rate function for the customers-in-system process is obtained for the single class model. A risk-sensitive type control problem is considered for multiclass G/M/N model under the moderate deviation scaling and shown that the optimal control problem is related to a differential game problem.
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作者：Cai, Ning; Li, Chenxu; Shi, Chao
作者单位：Hong Kong University of Science & Technology; Peking University
摘要：In this paper we propose a closed-form asymptotic expansion approach to pricing discretely monitored Asian options in general one-dimensional diffusion models. Our expansion is a small-time expansion because the expansion parameter is selected to be the square root of the length of monitoring interval. This expansion method is distinguished from many other pricing-oriented expansion algorithms in the literature because of two appealing features. First, we illustrate that it is possible to expl...
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作者：Eaves, B. Curtis; Veinott, Arthur F., Jr.
作者单位：Stanford University; Stanford University
摘要：This paper considers infinite-horizon finite state-and-action Markov population decision chains (MPDCs) in which the goal is to find a stationary stopping policy with maximum stopping value, that is, with maximum value over all deterministic Markov stopping policies. A policy is stopping if the resulting expected population size in a period diminishes to zero as the period converges to infinity. The paper shows that the following are equivalent: (a) there is a stationary maximum-stopping value...
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作者：Atar, Rami; Kaspi, Haya; Shimkin, Nahum
作者单位：Technion Israel Institute of Technology; Technion Israel Institute of Technology
摘要：A multiclass many-server system is considered, in which customers are served according to a nonpreemptive priority policy and may renege while waiting to enter service. The service and reneging time distributions satisfy mild conditions. Building on an approach developed by Kaspi and Ramanan, the law-of-large-numbers many-server asymptotics are characterized as the unique solution to a set of differential equations in a measure space, regarded as fluid model equations. In stationarity, converg...
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作者：Kamiyama, Naoyuki
作者单位：Kyushu University
摘要：In two-sided matching markets, the concept of stability proposed by Gale and Shapley is one of the most important solution concepts. In this paper, we consider a problem related to stability of a matching in a two-sided matching market with indifferences. It is known that stability does not guarantee Pareto efficiency in a two-sided matching market with indifferences. However, Erdil and Ergin proved that there always exists a stable and Pareto efficient matching in a many-to-one matching marke...
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作者：Remerova, Maria; Reed, Josh; Zwart, Bert
作者单位：New York University; Vrije Universiteit Amsterdam; University System of Georgia; Georgia Institute of Technology
摘要：Bandwidth-sharing networks as introduced by Roberts and Massoule [Roberts JW, Massoule L (1998) Bandwidth sharing and admission control for elastic traffic. Proc. ITC Specialist Seminar, Yokohama, Japan], Massoulie and Roberts [Massoulie L, Roberts JW (1999) Bandwidth sharing: Objectives and algorithms. Proc. IEEE Infocom. (Books in Statistics, New York), 1395-1403] model the dynamic interaction among an evolving population of elastic flows competing for several links. With policies based on o...
