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作者：Bedard, Mylene
作者单位：University of Warwick
摘要：In this paper, we shall optimize the efficiency of Metropolis algorithms for multidimensional target distributions with scaling terms possibly depending on the dimension. We propose a method for determining the appropriate form for the scaling of the proposal distribution as a function of the dimension, which leads to the proof of an asymptotic diffusion theorem. We show that when there does not exist any component with a scaling term significantly smaller than the others, the asymptotically o...
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作者：Egloff, Daniel; Kohler, Michael; Todorovic, Nebojsa
摘要：Under the assumption of no-arbitrage, the pricing of American and Bermudan options can be casted into optimal stopping problems. We propose a new adaptive simulation based algorithm for the numerical solution of optimal stopping problems in discrete time. Our approach is to recursively compute the so-called continuation values. They are defined as regression functions of the cash flow, which would occur over a series of subsequent time periods, if the approximated optimal exercise strategy is ...
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作者：Kang, W.; Williams, R. J.
作者单位：Carnegie Mellon University; University of California System; University of California San Diego
摘要：Semimartingale reflecting Brownian motions (SRBMs) living in the closures of domains with piecewise smooth boundaries are of interest in applied probability because of their role as heavy traffic approximations for some stochastic networks. In this paper, assuming certain conditions on the domains and directions of reflection, a perturbation result, or invariance principle, for SRBMs is proved. This provides sufficient conditions for a process that satisfies the definition of an SRBM, except f...
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作者：Feng, Shui
作者单位：McMaster University
摘要：Several results of large deviations are obtained for distributions that are associated with the Poisson-Dirichlet distribution and the Ewens sampling formula when the parameter theta approaches infinity. The motivation for these results comes from a desire of understanding the exact meaning of theta going to infinity. In terms of the law of large numbers and the central limit theorem, the limiting procedure of theta going to infinity in a Poisson-Dirichlet distribution corresponds to a finite ...
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作者：Bertacchi, Daniela; Posta, Gustavo; Zucca, Fabio
作者单位：University of Milan; Polytechnic University of Milan
摘要：We study a generalized branching random walk where particles breed at a rate which depends on the number of neighboring particles. Under general assumptions on the breeding rates we prove the existence of a phase where the population survives without exploding. We construct a nontrivial invariant measure for this case.
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作者：Merlet, Glenn
作者单位：Universite PSL; Universite Paris-Dauphine
摘要：Let (A(n))(n is an element of N) be a stationary sequence of topical (i.e., isotone and additively homogeneous) operators. Let x (n, x(0)) be defined by x (0, x(0)) = x(0) and x (n + 1, x(0)) = A(n)x (n, x(0)). It can model a wide range of systems including train or queuing networks, job-shop, timed digital circuits or parallel processing systems. When (A(n))(n is an element of N) has the memory loss property, (x (n, x(0)))(n is an element of N) satisfies a strong law of large numbers. We show...
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作者：Jones, Matthew O.; Serfozo, Richard F.
作者单位：Austin Peay State University; University System of Georgia; Georgia Institute of Technology
摘要：We present sufficient conditions for sums of dependent point processes to converge in distribution to a Poisson process. This extends the classical result of Grigelionis [Theory Probab. Appl. 8 (1963) 172-182] for sums of uniformly null point processes that have Poisson limits. Included is an application in which a particle-survivor point process converges to a Poisson process. This result sheds light on the surprising Poisson limit of the species competition process of Durrett and Limic.
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作者：Birkner, Matthias; Depperschmidt, Andrei
作者单位：Leibniz Association; Weierstrass Institute for Applied Analysis & Stochastics; Technical University of Berlin
摘要：We study a discrete time spatial branching system on Z(d) With log iStic- type local regulation at each deme depending on a weighted average of the population in neighboring demes. We show that the system survives for all time with positive probability if the competition term is small enough. For a restricted set of parameter values, we also obtain uniqueness of the nontrivial equilibrium and complete convergence, as well as long-term coexistence in a related two-type model. Along the way we c...
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作者：Bai, Z. D.; Silverstein, Jack W.
作者单位：Northeast Normal University - China; North Carolina State University
摘要：Let {s(ij): i, j = 1,2....} consist of i.i.d. random variables in C with Es-11 = 0, E/s(11)/(2) = 1. For each positive integer N, let s(k) = s(k) (N) = (s(1k), s(2k),..., s(Nk))(T), 1 <= k <= K, with K = K(N) and K/N -> c > 0 as N -> infinity. Assume for fixed positive integer L, for each N and k <= K, alpha(k) = (alpha(k)(1),..., alpha k(L))(T) is random, independent of the s(ij), and the empirical distribution of (alpha(1),..., alpha(K)), with probability one converging weakly to a probabili...
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作者：Yin, George; Zhang, Hanqin
作者单位：Wayne State University; Chinese Academy of Sciences; Academy of Mathematics & System Sciences, CAS
摘要：This work focuses on time-inhomogeneous Markov chains with two time scales. Our motivations stem from applications in reliability and dependability, queueing networks, financial engineering and manufacturing systems, where two-time-scale scenarios naturally arise. One of the important questions is: As the rate of fluctuation of the Markov chain goes to infinity, if the limit distributions of suitably centered and scaled sequences of occupation measures exist, what can be said about the converg...
