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作者：Santos, Manuel S.
作者单位：University of Miami; Universidad Carlos III de Madrid
摘要：This paper considers a simulation-based estimator for a general class of Markovian processes and explores some strong consistency properties of the estimator. The estimation problem is defined over a continuum of invariant distributions indexed by a vector of parameters. A key step in the method of proof is to show the uniform convergence (a.s.) of a family of sample distributions over the domain of parameters. This uniform convergence holds under mild continuity and monotonicity conditions on...
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作者：Cohen, Samuel N.; Elliott, Robert J.
作者单位：University of Adelaide; University of Calgary
摘要：Most previous contributions to BSDEs, and the related theories of nonlinear expectation and dynamic risk measures, have been in the framework of continuous time diffusions or jump diffusions. Using solutions of BSDEs on spaces related to finite state, continuous time Markov chains, we develop a theory of nonlinear expectations in the spirit of [Dynamically consistent nonlinear evaluations and expectations (2005) Shandong Univ.]. We prove basic properties of these expectations and show their ap...
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作者：Alexander, Kenneth S.; Zygouras, Nikos
作者单位：University of Southern California; University of Warwick
摘要：We consider a polymer with configuration modelled by the trajectory of a Markov chain, interacting with a potential of form u + V-n when it visits a particular state 0 at time n, with {V-n} representing i.i.d. quenched disorder. There is a critical value of u above which the polymer is pinned by the potential. A particular case not covered in a number of previous studies is that of loop exponent one, in which the probability of an excursion of length n takes the form phi(n)/n for some slowly v...
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作者：Pang, Guodong; Whitt, Ward
作者单位：Columbia University
摘要：We establish continuity of the integral representation y(t) = x(t) + integral(t)(0)h(y(s)) ds, t >= 0, mapping a function x into a function y when the underlying function space D is endowed with the Skorohod M-1 topology. We apply this integral representation with the continuous mapping theorem to establish heavy-traffic stochastic-process limits for many-server queueing models when the limit process has jumps unmatched in the converging processes as can occur with bursty arrival processes or ...
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作者：Goldman, Andre
作者单位：Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Ecole Centrale de Lyon; Institut National des Sciences Appliquees de Lyon - INSA Lyon; Universite Claude Bernard Lyon 1; Universite Jean Monnet
摘要：We prove that the Palm measure of the Ginibre process is obtained by removing a Gaussian distributed point from the process and adding the origin. We obtain also precise formulas describing the law of the typical cell of Ginibre-Voronoi tessellation. We show that near the germs of the cells a more important part of the area is captured in the Ginibre-Voronoi tessellation than in the Poisson-Voronoi tessellation. Moment areas of corresponding subdomains of the cells are explicitly evaluated.
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作者：Evans, Steven N.; Sturmfels, Bernd; Uhler, Caroline
作者单位：University of California System; University of California Berkeley; University of California System; University of California Berkeley
摘要：We use methods from combinatorics and algebraic statistics to study analogues of birth-and-death processes that have as their state space a finite subset of the m-dimensional lattice and for which the in matrices that record the transition probabilities in each of the lattice directions commute pair-wise. One reason such processes are of interest is that the transition matrix is straightforward to diagonalize, and hence it is easy to compute n step transition probabilities. The set of commutin...
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作者：Mohamed, Hanene; Robert, Philippe
作者单位：Universite Paris Saclay; Inria
摘要：In this paper, a general tree algorithm processing a random flow of arrivals is analyzed. Capetanakis-Tsybakov-Mikhailov's protocol in the context of communication networks with random access is an example of such an algorithm. In computer science, this corresponds to a trie structure with a dynamic input. Mathematically, it is related to a stopped branching process with exogeneous arrivals (immigration). Under quite general assumptions on the distribution of the number of arrivals and on the ...
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作者：Evans, Steven N.; Ralph, Peter L.
作者单位：University of California System; University of California Berkeley; University of California System; University of California Davis
摘要：If we follow an asexually reproducing population through time, then the amount of time that has passed since the most recent common ancestor (MRCA) of all current individuals lived will change as time progresses. The resulting MRCA age process has been studied previously when the population has a constant large size and evolves via the diffusion limit of standard Wright-Fisher dynamics. For any population model, the sample paths of the MRCA age process are made up of periods of linear upward d...
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作者：Hata, Hiroaki; Nagai, Hideo; Sheu, Shuenn-Jyi
作者单位：Academia Sinica - Taiwan; University of Osaka
摘要：We consider a long-term optimal investment problem where an investor tries to minimize the probability of falling below a target growth rate. From a mathematical viewpoint, this is a large deviation control problem. This problem will be shown to relate to a risk-sensitive stochastic control problem for a sufficiently large time horizon. Indeed, in our theorem we state a duality in the relation between the above two problems. Furthermore, under a multidimensional linear Gaussian model we obtain...
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作者：Puhalskii, Anatolii A.; Reed, Josh E.
作者单位：University of Colorado System; University of Colorado Denver; New York University
摘要：We establish a heavy-traffic limit theorem on convergence in distribution for the number of customers in a many-server queue when the number of servers tends to infinity. No critical loading condition is assumed. Generally, the limit process does not have trajectories in the Skorohal space. We give conditions for the convergence to hold in the topology of compact convergence. Some new results for an infinite server are also provided.
