5期

最新文章

• MAXIMIZING FUNCTIONALS OF THE MAXIMUM IN THE SKOROKHOD EMBEDDING PROBLEM AND AN APPLICATION TO VARIANCE SWAPS AI翻译
  作者：Hobson, David; Klimmek, Martin
  作者单位：University of Warwick
  摘要：The Azema-Yor solution (resp., the Perkins solution) of the Skorokhod embedding problem has the property that it maximizes (resp., minimizes) the law of the maximum of the stopped process. We show that these constructions have a wider property in that they also maximize (and minimize) expected values for a more general class of bivariate functions F(W-tau, S-tau) depending on the joint law of the stopped process and the maximum. Moreover, for monotonic functions g, they also maximize and minim...
• NEAR CRITICAL CATALYST REACTANT BRANCHING PROCESSES WITH CONTROLLED IMMIGRATION AI翻译
  作者：Budhiraja, Amarjit; Reinhold, Dominik
  作者单位：University of North Carolina; University of North Carolina Chapel Hill; Clark University
  摘要：Near critical catalyst-reactant branching processes with controlled immigration are studied. The reactant population evolves according to a branching process whose branching rate is proportional to the total mass of the catalyst. The bulk catalyst evolution is that of a classical continuous time branching process; in addition there is a specific form of immigration. Immigration takes place exactly when the catalyst population falls below a certain threshold, in which case the population is ins...
• ROBUST MAXIMIZATION OF ASYMPTOTIC GROWTH UNDER COVARIANCE UNCERTAINTY AI翻译
  作者：Bayraktar, Erhan; Huang, Yu-Jui
  作者单位：University of Michigan System; University of Michigan
  摘要：This paper resolves a question proposed in Kardaras and Robertson [Ann. Appl. Probab. 22 (2012) 1576-1610]: how to invest in a robust growth-optimal way in a market where precise knowledge of the covariance structure of the underlying assets is unavailable. Among an appropriate class of admissible covariance structures, we characterize the optimal trading strategy in terms of a generalized version of the principal eigenvalue of a fully nonlinear elliptic operator and its associated eigenfuncti...
• SOLVING OPTIMAL STOPPING PROBLEMS VIA EMPIRICAL DUAL OPTIMIZATION AI翻译
  作者：Belomestny, Denis
  作者单位：University of Duisburg Essen
  摘要：In this paper we consider a method of solving optimal stopping problems in discrete and continuous time based on their dual representation. A novel and generic simulation-based optimization algorithm not involving nested simulations is proposed and studied. The algorithm involves the optimization of a genuinely penalized dual objective functional over a class of adapted martingales. We prove the convergence of the proposed algorithm and demonstrate its efficiency for optimal stopping problems ...
• DECAY OF TAILS AT EQUILIBRIUM FOR FIFO JOIN THE SHORTEST QUEUE NETWORKS AI翻译
  作者：Bramson, Maury; Lu, Yi; Prabhakar, Balaji
  作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of Illinois System; University of Illinois Urbana-Champaign; Stanford University
  摘要：In join the shortest queue networks, incoming jobs are assigned to the shortest queue from among a randomly chosen subset of D queues, in a system of N queues; after completion of service at its queue, a job leaves the network. We also assume that jobs arrive into the system according to a rate-alpha N Poisson process, alpha < 1, with rate-1 service at each queue. When the service at queues is exponentially distributed, it was shown in Vvedenskaya et al. [Probl. Inf. Transm. 32 (1996) 15-29] t...
• DIVERGENCE OF THE MULTILEVEL MONTE CARLO EULER METHOD FOR NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS AI翻译
  作者：Hutzenthaler, Martin; Jentzen, Arnulf; Kloeden, Peter E.
  作者单位：University of Munich; Princeton University; Goethe University Frankfurt
  摘要：The Euler-Maruyama scheme is known to diverge strongly and numerically weakly when applied to nonlinear stochastic differential equations (SDEs) with superlinearly growing and globally one-sided Lipschitz continuous drift coefficients. Classical Monte Carlo simulations do, however, not suffer from this divergence behavior of Euler's method because this divergence behavior happens on rare events. Indeed, for such nonlinear SDEs the classical Monte Carlo Euler method has been shown to converge b...
• ON THE RATE OF CONVERGENCE TO STATIONARITY OF THE M/M/N QUEUE IN THE HALFIN-WHITT REGIME AI翻译
  作者：Gamarnik, David; Goldberg, David A.
  作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); University System of Georgia; Georgia Institute of Technology
  摘要：We prove several results about the rate of convergence to stationarity, that is, the spectral gap, for the M/M/n queue in the Halfin-Whitt regime. We identify the limiting rate of convergence to steady-state, and discover an asymptotic phase transition that occurs w.r.t. this rate. In particular, we demonstrate the existence of a constant B* approximate to 1.85772 s.t. when a certain excess parameter B is an element of (0, B*], the error in the steady-state approximation converges exponentiall...
• ROBUST FILTERING: CORRELATED NOISE AND MULTIDIMENSIONAL OBSERVATION AI翻译
  作者：Crisan, D.; Diehl, J.; Friz, P. K.; Oberhauser, H.
  作者单位：Imperial College London; Technical University of Berlin; Leibniz Association; Weierstrass Institute for Applied Analysis & Stochastics
  摘要：In the late seventies, Clark [In Communication Systems and Random Process Theory (Proc. 2nd NATO Advanced Study Inst., Darlington, 1977) (1978) 721-734, Sijthoff & Noordhoff] pointed out that it would be natural for pi(t), the solution of the stochastic filtering problem, to depend continuously on the observed data Y = {Y-s, s is an element of [0, t]}. Indeed, if the signal and the observation noise are independent one can show that, for any suitably chosen test function f, there exists a cont...
• KINETICALLY CONSTRAINED SPIN MODELS ON TREES AI翻译
  作者：Martinelli, F.; Toninelli, C.
  作者单位：Roma Tre University; Centre National de la Recherche Scientifique (CNRS); Sorbonne Universite; Universite Paris Cite
  摘要：We analyze kinetically constrained 0-1 spin models (KCSM) on rooted and unrooted trees of finite connectivity. We focus in particular on the class of Friedrickson-Andersen models FA-jf and on an oriented version of them. These tree models are particularly relevant in physics literature since some of them undergo an ergodicity breaking transition with the mixed first-second order character of the glass transition. Here we first identify the ergodicity regime and prove that the critical density ...
• SYSTEMS WITH LARGE FLEXIBLE SERVER POOLS: INSTABILITY OF NATURAL LOAD BALANCING AI翻译
  作者：Stolyar, Alexander L.; Yudovina, Elena
  作者单位：AT&T; Alcatel-Lucent; University of Michigan System; University of Michigan
  摘要：We consider general large-scale service systems with multiple customer classes and multiple server (agent) pools, mean service times depend both on the customer class and server pool. It is assumed that the allowed activities (routing choices) form a tree (in the graph with vertices being both customer classes and server pools). We study the behavior of the system under a natural (load balancing) routing/scheduling rule, Longest-Queue Freest-Server (LQFS-LB), in the many-server asymptotic regi...