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作者：Dupuis, Paul; Sezer, Ali Devin; Wang, Hui
作者单位：Brown University
摘要：Importance sampling is a technique that is commonly used to speed up Monte Carlo simulation of rare events. However, little is known regarding the design of efficient importance sampling algorithms in the context of queueing networks. The standard approach, which simulates the system using an a priori fixed change of measure suggested by large deviation analysis, has been shown to fail in even the simplest network setting (e.g., a two-node tandem network). Exploiting connections between import...
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作者：Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn R.
作者单位：Universite de Pau et des Pays de l'Adour; University of Wroclaw; University of London; King's College London
摘要：In this paper we consider the optimal dividend problem for an insurance company whose risk process evolves as a spectrally negative Levy process in the absence of dividend payments. The classical dividend problem for an insurance company consists in finding a dividend payment policy that maximizes the total expected discounted dividends. Related is the problem where we impose the restriction that ruin be prevented: the beneficiaries of the dividends must then keep the insurance company solvent...
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作者：Baccelli, Francois; Bordenave, Charles
作者单位：Universite PSL; Ecole Normale Superieure (ENS)
摘要：We analyze a class of spatial random spanning trees built on a realization of a homogeneous Poisson point process of the plane. This tree has a simple radial structure with the origin as its root. We first use stochastic geometry arguments to analyze local functionals of the random tree such as the distribution of the length of the edges or the mean degree of the vertices. Far away from the origin, these local properties are shown to be close to those of a variant of the directed spanning tree...
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作者：Pan, Guang-Ming; Guo, Mei-Hui; Zhou, Wang
作者单位：National Sun Yat Sen University; National University of Singapore
摘要：Let s(k) = 1/root N (nu(1k),...,nu(Nk))(T), k = 1,...,K, where {nu(ik), i, k = 1,...} are independent and identically distributed random variables with E nu(11) = 0 and E nu(2)(11) = 1. Let S-k = (s(1),...,s(k-1), s(k+l),...,s(K)), P-k = diag(p(1),...,p(k-1), p(k+1),...,p(K)) and beta(k) = p(k)s(k)(T) (SkPkSkT + sigma I-2)(-1)s(k) where pk >= 0 and the beta(k) is referred to as the signal-to-interference ratio (SIR) of user k with linear minimum mean-square error (LMMSE) detection in wireless ...
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作者：Massoulie, Laurent
摘要：In this article we provide a novel characterization of the proportionally fair bandwidth allocation of network capacities, in terms of the Fenchel-Legendre transform of the network capacity region. We use this characterization to prove stability (i.e., ergodicity) of network dynamics under proportionally fair sharing, by exhibiting a suitable Lyapunov function. Our stability result extends previously known results to a more general model including Markovian users routing. In particular, it imp...
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作者：Atar, Rami; Budhiraja, Amarjit; Williams, Ruth J.
作者单位：Technion Israel Institute of Technology; University of California System; University of California San Diego; University of North Carolina; University of North Carolina Chapel Hill
摘要：Given a closed, bounded convex set W subset of R-d with nonempty interior, we consider a control problem in which the state process W and the control process U satisfy [Graphics] where Z is a standard, multi-dimensional Brownian motion, nu, sigma epsilon C-0,C-1 (W), G is a fixed matrix, and w(o) epsilon w. The process U is locally of bounded variation and has increments in a given closed convex cone U C RP. Given g epsilon C(W), K epsilon R-P, and alpha > 0, consider the objective that is to ...
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作者：Durrett, Richard; Schmidt, Deena
作者单位：Cornell University; Cornell University
摘要：One possible explanation for the substantial organismal differences between humans and chimpanzees is that there have been changes in gene regulation. Given what is known about transcription factor binding sites, this motivates the following probability question: given a 1000 nucleotide region in our genome, how long does it take for a specified six to nine letter word to appear in that region in some individual? Stone and Wray [Mol. Biol. Evol. 18 (2001) 1764-1770] computed 5,950 years as the...
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作者：Jacka, Saul; Berkaoui, Abdelkarem
作者单位：University of Warwick
摘要：We consider trading in a financial market with proportional transaction costs. In the frictionless case, claims are maximal if and only if they are priced by a consistent price process-the equivalent of an equivalent martingale measure. This result fails in the presence of transaction costs. A properly maximal claim is one which does have this property. We show that the properly maximal claims are dense in the set of maximal claims (with the topology of convergence in probability).
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作者：Walker, Stephen G.; Hatjispyros, Spyridon J.; Nicoleris, Theodoros
作者单位：University of Kent; University of Aegean
摘要：This paper provides a construction of a Fleming-Viot measure valued diffusion process, for which the transition function is known, by extending recent ideas of the Gibbs sampler based Markov processes. In particular, we concentrate on the Chapman-Kolmogorov consistency conditions which allows a simple derivation of such a Fleming-Viot process, once a key and apparently new combinatorial result for Polya-urn sequences has been established.
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作者：Jaskiewicz, Anna
作者单位：Wroclaw University of Science & Technology
摘要：This paper deals with discrete-time Markov control processes on a general state space. A long-run risk-sensitive average cost criterion is used as a performance measure. The one-step cost function is nonnegative and possibly unbounded. Using the vanishing discount factor approach, the optimality inequality and an optimal stationary strategy for the decision maker are established.
