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作者：Ait-Sahalia, Yacine; Cacho-Diaz, Julio; Hurd, T. R.
作者单位：Princeton University; National Bureau of Economic Research; McMaster University
摘要：We analyze the consumption-portfolio selection problem of an investor facing both Brownian and jump risks. We bring new tools, in the form of orthogonal decompositions, to bear on the problem in order to determine the optimal portfolio in closed form. We show that the optimal policy is for the investor to focus on controlling his exposure to the jump risk, while exploiting differences in the Brownian risk of the asset returns that lies in the orthogonal space.
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作者：Heveling, Matthias; Reitzner, Matthias
作者单位：Technische Universitat Wien
摘要：Let X be a Poisson point process and K subset of R(d) a measurable set. Construct the Voronoi cells of all points x is an element of X with respect to X, and denote by v(X)(K) the union of all Voronoi cells with nucleus in K. For K a compact convex set the expectation of the volume difference V(v(X)(K)) - V(K) and the symmetric difference V(v(X)(K)Delta K) is computed. Precise estimates for the variance of both quantities are obtained which follow from a new jackknife inequality for the varian...
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作者：Woodard, Dawn B.; Schmidler, Scott C.; Huber, Mark
作者单位：Duke University; Duke University
摘要：We give conditions under which a Markov chain constructed via parallel or simulated tempering is guaranteed to be rapidly mixing, which are applicable to a wide range of multimodal distributions arising in Bayesian statistical inference and statistical mechanics. We provide lower bounds on the spectral gaps of parallel and simulated tempering. These bounds imply a single set of sufficient conditions for rapid mixing of both techniques. A direct consequence of our results is rapid mixing of par...
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作者：Graham, Benjamin T.
作者单位：University of British Columbia
摘要：We study the zero-range process on the complete graph. It is a Markov chain model for a microcanonical ensemble. We prove that the process converges to a fluid limit. The fluid limit rapidly relaxes to the appropriate Gibbs distribution.
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作者：Del Moral, Pierre; Patras, Frederic; Rubenthaler, Sylvain
作者单位：Universite de Bordeaux; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Universite de Bordeaux; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Inria; Centre National de la Recherche Scientifique (CNRS); Universite Cote d'Azur
摘要：We design exact polynomial expansions of a class of Feynman-Kac particle distributions. These expansions are finite and are parametrized by coalescent trees and other related combinatorial quantities. The accuracy of the expansions at any order is related naturally to the number of coalescences of the trees. Our results include an extension of the Wick product formula to interacting particle systems. They also provide refined nonasymptotic propagation of chaos-type properties, as well as sharp...
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作者：Garet, Olivier
作者单位：Universite de Lorraine
摘要：This paper concerns maximal flows on Z(2) traveling from a convex set to infinity, the flows being restricted by a random capacity. For every compact convex set A, we prove that the maximal flow Phi(nA) between nA and infinity is such that Phi(nA)/n it almost surely converges to the integral of a deterministic function over the boundary of A. The limit can also be interpreted as the optimum of a deterministic continuous max-flow problem. We derive some properties of the infinite cluster in sup...
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作者：Khare, Kshitij; Zhou, Hua
作者单位：Stanford University; University of California System; University of California Los Angeles; University of California Los Angeles Medical Center; David Geffen School of Medicine at UCLA
摘要：We provide a sharp nonasymptotic analysis of the rates of convergence for some standard multivariate Markov chains using spectral techniques. All chains under consideration have multivariate orthogonal polynomial as eigenfunctions. Our examples include the Moran model in population genetics and its variants in community ecology, the Dirichlet-multinomial Gibbs sampler, a class of generalized Bernoulli-Laplace processes, a generalized Ehrenfest urn model and the multivariate normal autoregressi...
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作者：Yatracos, Yannis G.
作者单位：National University of Singapore
摘要：In a sample variance decomposition, with components functions of the sample's spacings, the largest component (I) over tilde (n) is used in cluster detection. It is shown for normal samples that the asymptotic distribution of (I) over tilde (n) is the Gumbel distribution.
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作者：Atar, Rami; Shaikhet, Gennady
作者单位：Technion Israel Institute of Technology; Carnegie Mellon University
摘要：This paper introduces and analyzes the notion of throughput suboptimality for many-server queueing systems in heavy traffic. The queueing model under consideration has multiple customer classes, indexed by a finite set l, and heterogenous, exponential servers. Servers are dynamically chosen to serve customers, and buffers are available for customers waiting to be served. The arrival rates and the number of servers are scaled up in such a way that the processes representing the number of class-...
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作者：Durrett, Rick; Schmidt, Deena; Schweinsberg, Jason
作者单位：Cornell University; University of Minnesota System; University of Minnesota Twin Cities; University of California System; University of California San Diego
摘要：We consider the population genetics problem: how long does it take before some member of the population has m specified mutations? The case m = 2 is relevant to onset of cancer due to the inactivation of both copies of a tumor suppressor gene. Models for larger m are needed for colon cancer and other diseases where a sequence of mutations leads to cells with uncontrolled growth.
