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作者：Atar, Rami; Biswas, Anup
作者单位：Technion Israel Institute of Technology
摘要：A multi-class single-server system with general service time distributions is studied in a moderate deviation heavy traffic regime. In the scaling limit, an optimal control problem associated with the model is shown to be governed by a differential game that can be explicitly solved. While the characterization of the limit by a differential game is akin to results at the large deviation scale, the analysis of the problem is closely related to the much studied area of control in heavy traffic a...
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作者：Akyildirim, Erdinc; Dolinsky, Yan; Soner, H. Mete
作者单位：Borsa Istanbul; Swiss Federal Institutes of Technology Domain; ETH Zurich; Hebrew University of Jerusalem
摘要：A general method to construct recombinant tree approximations for stochastic volatility models is developed and applied to the Heston model for stock price dynamics. In this application, the resulting approximation is a four tuple Markov process. The first two components are related to the stock and volatility processes and take values in a two-dimensional binomial tree. The other two components of the Markov process are the increments of random walks with simple values in {-1, +1}. The result...
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作者：Louidor, Oren; Tessler, Ran; Vandenberg-Rodes, Alexander
作者单位：Technion Israel Institute of Technology; Hebrew University of Jerusalem; University of California System; University of California Irvine
摘要：We consider the Williams-Bjerknes model, also known as the biased voter model on the d-regular tree T-d, where d >= 3. Starting from an initial of healthy and infected vertices, infected vertices infect their neighbors at Poisson rate lambda >= 1, while healthy vertices heal their neighbors at Poisson rate 1. All vertices act independently. It is well known that starting from a configuration with a positive but finite number of infected vertices, infected vertices will continue to exist at all...
