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作者：Albenque, Marie
作者单位：Universite Paris Cite
摘要：In the literature, most of the results about the enumeration of directed animals on lattices via gas considerations are obtained by a formal passage to the limit of enumeration of directed animals on cyclical versions of the lattice. Here we provide a new point of view on this phenomenon. Using the gas construction given in [Electron. J. Combin. (2007) 14 R71], we describe the gas process on the cyclical versions of the lattices as a cyclical Markov chain (roughly speaking, Markov chains condi...
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作者：Jourdain, Benjamin; Lelong, Jerome
作者单位：Institut Polytechnique de Paris; ENSTA Paris
摘要：Adaptive Monte Carlo methods are very efficient techniques designed to tune simulation estimators on-line. In this work, we present an alternative to stochastic approximation to tune the optimal change of measure in the context of importance sampling for normal random vectors. Unlike stochastic approximation, which requires very fine tuning in practice, we propose to use sample average approximation and deterministic optimization techniques to devise a robust and fully automatic variance reduc...
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作者：Gamarnik, David; Katz, Dmitriy
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：One of the basic properties of a queueing network is stability. Roughly speaking, it is the property that the total number of jobs in the network remains bounded as a function of time. One of the key questions related to the stability issue is how to determine the exact conditions under which a given queueing network operating under a given scheduling policy remains stable. While there was much initial progress in addressing this question, most of the results obtained were partial at best and ...
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作者：Gruebel, Rudolf
作者单位：Leibniz University Hannover
摘要：A zero-one sequence describes a path through a rooted directed binary tree T; it also encodes a real number in [0, 1]. We regard the level of the external node of T along the path as a function on the unit interval, the silhouette of T. We investigate the asymptotic behavior of the resulting stochastic processes for sequences of trees that are generated by the binary search tree algorithm.
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作者：Cotar, Codina; Limic, Vlada
作者单位：Technical University of Berlin; Centre National de la Recherche Scientifique (CNRS)
摘要：We consider a class of strongly edge-reinforced random walks, where the corresponding reinforcement weight function is nondecreasing. It is known, from Limic and Tarres [Ann. Probab. (2007), to appear], that the attracting edge emerges with probability I whenever the underlying graph is locally bounded. We study the asymptotic behavior of the tail distribution of the (random) time of attraction. In particular, we obtain exact (up to a multiplicative constant) asymptotics if the underlying grap...
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作者：Kang, W. N.; Kelly, F. P.; Lee, N. H.; Williams, R. J.
作者单位：Carnegie Mellon University; University of Cambridge; Johns Hopkins University; University of California System; University of California San Diego
摘要：We consider a connection-level model of Internet congestion control, introduced by Massoulie and Roberts [Telecommunication Systems 15 (2000) 185-201], that represents the randomly varying number of flows present in a network. Here, bandwidth is shared fairly among elastic document transfers according to a weighted a-fair bandwidth sharing policy introduced by Mo and Walrand [IEEE/ACM Transactions on Networking 8 (2000) 556-567] [alpha is an element of (0, infinity)]. Assuming Poisson arrivals...
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作者：Rataj, Jan; Spodarev, Evgeny; Meschenmoser, Daniel
作者单位：Charles University Prague; Ulm University
摘要：A parallel neighborhood of a path of a Brownian motion is sometimes called the Wiener sausage. We consider almost sure approximations of this random set by a sequence of random polyconvex sets and show that the convergence of the corresponding mean curvature measures holds under certain conditions in two and three dimensions. Based on these convergence results, the mean curvature measures of the Wiener sausage are calculated numerically by Monte Carlo simulations in two dimensions. The corresp...
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作者：Chan, B.; Durrett, R.; Lanchier, N.
作者单位：Cornell University; Arizona State University; Arizona State University-Tempe
摘要：We introduce a multitype contact process with temporal heterogeneity involving two species competing for space on the d-dimensional integer lattice. Time is divided into seasons called alternately season 1 and season 2. We prove that there is an open set of the parameters for which both species can coexist when their dispersal range is large enough. Numerical simulations also suggest that three species can coexist in the presence of two seasons. This contrasts with the long-term behavior of th...
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作者：Eberlein, Ernst; Papapantoleon, Antonis; Shiryaev, Albert N.
作者单位：University of Freiburg; Technische Universitat Wien; Russian Academy of Sciences; Steklov Mathematical Institute of the Russian Academy of Sciences
摘要：The duality principle in option pricing aims at simplifying valuation problems that depend on several variables by associating them to the corresponding dual option pricing problem. Here, we analyze the duality principle for options that depend on several assets. The asset price processes are driven by general semimartingales, and the dual measures are constructed via an Esscher transformation. As an application, we can relate swap and quanto options to standard call and put options. Explicit ...
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作者：Caravenna, Francesco; Petrelis, Nicolas
作者单位：University of Padua
摘要：We consider a model for a polymer chain interacting with a sequence of equispaced flat interfaces through a pinning potential. The intensity delta is an element of R of the pinning interaction is constant, while the interface spacing T = T(N) is allowed to vary with the size N of the polymer. Our main result is the explicit determination of the scaling behavior of the model in the large N limit, as a function of (T(N))(N) and for fixed delta > 0. In particular, we show that a transition occurs...
