-
作者：Dawson, Donald A.; Feng, Shui
作者单位：Carleton University; McMaster University
摘要：The large deviation principle is established for the Poisson-Dirichlet distribution when the parameter theta approaches infinity. The result is then used to study the asymptotic behavior of the homozygosity and the Poisson-Dirichlet distribution with selection. A phase transition occurs depending on the growth rate of the selection intensity. If the selection intensity grows sublinearly in theta, then the large deviation rate function is the same as the neutral model; if the selection intensit...
-
作者：Kifer, Yuri
作者单位：Hebrew University of Jerusalem
摘要：We justify and give error estimates for binomial approximations of game (Israeli) options in the Black-Scholes market with Lipschitz continuous path dependent payoffs which are new also for usual American style options. We show also that rational (optimal) exercise times and hedging self-financing portfolios of binomial approximations yield for game options in the Black-Scholes market nearly rational exercise times and nearly hedging self-financing portfolios with small average shortfalls and ...
-
作者：Siegmund-Schultze, R; Wagner, W
作者单位：Technical University of Berlin; Leibniz Association; Weierstrass Institute for Applied Analysis & Stochastics
摘要：A two-site spatial coagulation model is considered, Particles of masses m and n at the same site form a new particle of mass m + n at rate inn. Independently, particles jump to the other site at a constant rate, The limit (for increasing particle numbers) of this model is expected to be nondeterministic after the gelation time, namely, one or two giant particles randomly jump between the two sites. Moreover, a new effect of induced gelation is observed-the gelation happening at the site with t...
-
作者：Becherer, Dirk
作者单位：Imperial College London
摘要：We prove results on bounded solutions to backward stochastic equations driven by random measures. Those bounded BSDE solutions are then applied to solve different stochastic optimization problems with exponential utility in models where the underlying filtration is noncontinuous. This includes results on portfolio optimization under an additional liability and on dynamic utility indifference valuation and partial hedging in incomplete financial markets which are exposed to risk from unpredicta...
-
作者：Andjel, E. D.; Menshikov, M. V.; Sisko, V. V.
作者单位：Aix-Marseille Universite; Durham University; Universidade de Sao Paulo
摘要：We show that certain Markov jump processes associated to crystal growth models are positive recurrent when the parameters satisfy a rather C natural condition.
-
作者：Bousquet-Melou, Mireille; Janson, Svante
作者单位：Universite de Bordeaux; Centre National de la Recherche Scientifique (CNRS); Uppsala University
摘要：It has been known for a few years that the occupation measure of several models of embedded trees converges, after a suitable normalization, to the random measure called ISE (integrated SuperBrownian excursion). Here, we prove a local version of this result: ISE has a (random) Milder continuous density, and the vertical profile of embedded trees converges to this density, at least for some such trees. As a consequence, we derive a formula for the distribution of the density of ISE at a given p...
-
作者：Cancrini, N.; Caputo, P.; Martinelli, F.
作者单位：University of L'Aquila; Sapienza University Rome
摘要：We prove tight bounds on the relaxation time of the so-called L-reversal chain, which was introduced by R. Durrett as a stochastic model for the evolution of chromosome chains. The process is described as follows. We have n distinct letters on the vertices of the n-cycle (Z mod n); at each step, a connected subset of the graph is chosen uniformly at random among all those of length at most L, and the current permutation is shuffled by reversing the order of the letters over that subset. We sho...
-
作者：Diaconis, Persi; Saloff-Coste, Laurent
作者单位：Stanford University; Cornell University
摘要：This paper gives a necessary and sufficient condition for a sequence of birth and death chains to converge abruptly to stationarity, that is, to present a cut-off. The condition involves the notions of spectral gap and mixing time. Y. Peres has observed that for many families of Markov chains, there is a cutoff if and only if the product of spectral gap and mixing time tends to infinity. We establish this for arbitrary birth and death chains in continuous time when the convergence is measured ...
-
作者：Majewski, Kurt
作者单位：Siemens AG; Siemens Germany
摘要：We consider multiclass feedforward queueing networks with first in first out and priority service disciplines at the nodes, and class dependent deterministic routing between nodes. The random behavior of the network is constructed from cumulative arrival and service time processes which are assumed to satisfy an appropriate sample path large deviation principle. We establish logarithmic asymptotics of large deviations for waiting time, idle time, queue length, departure and sojourn-time proces...
-
作者：Ney, P. E.; Vidyashankar, Anand N.
作者单位：University of Wisconsin System; University of Wisconsin Madison; Cornell University
