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作者：Kochman, Fred; Reeds, Jim
作者单位：Center for Communications & Computing
摘要：According to a 1975 result of T. Kaijser, if some nonvanishing product of hidden Markov model (HMM) stepping matrices is subrectangular, and the underlying chain is aperiodic, the corresponding alpha-chain has a unique invariant limiting measure gimel. Here the alpha-chain {alpha(n)} = {(alpha(ni))} is given by alpha(ni) = P(X-n = i vertical bar Y-n, Yn-1, ...), where {(X-n, Y-n)} is a finite state HMM with unobserved Markov chain component {X-n} and observed output component {Y-n}. This defin...
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作者：Budhiraja, Amarjit; Ghosh, Arka Prasanna
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Iowa State University
摘要：We consider the scheduling control problem for a family of unitary networks under heavy traffic, with general interarrival and service times, probabilistic routing and infinite horizon discounted linear holding cost. A natural nonanticipativity condition for admissibility of control policies is introduced. The condition is seen to hold for a broad class of problems. Using this formulation of admissible controls and a time-transformation technique, we establish that the infimum of the cost for ...
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作者：Herrmann, Samuel; Imkeller, Peter; Peithmann, Dierk
作者单位：Universite de Lorraine; Humboldt University of Berlin
摘要：We consider potential type dynamical systems in finite dimensions with two meta-stable states. They are subject to two sources of perturbation: a slow external periodic perturbation of period T and a small Gaussian random perturbation of intensity 8, and, therefore, are mathematically described as weakly time inhomogeneous diffusion processes. A system is in stochastic resonance, provided the small noisy perturbation is tuned in such a way that its random trajectories follow the exterior perio...
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作者：Blum, Michael G. B.; Francois, Olivier; Janson, Svante
作者单位：Uppsala University; Centre National de la Recherche Scientifique (CNRS); Communaute Universite Grenoble Alpes; Universite Grenoble Alpes (UGA); Communaute Universite Grenoble Alpes; Institut National Polytechnique de Grenoble
摘要：For two decades, the Colless index has been the most frequently used statistic for assessing the balance of phylogenctic trees. In this article, this statistic is studied under the Yule and uniform model of phylogenetic trees. The main tool of analysis is a coupling argument with another well-known index called the Sackin statistic. Asymptotics for the mean, variance and covariance of these two statistics are obtained, as well as their limiting joint distribution for large phylogenies. Under t...
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作者：Kifer, Yuri
作者单位：Hebrew University of Jerusalem
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作者：Mossel, Elchanan; Vigoda, Eric
作者单位：University of California System; University of California Berkeley; University System of Georgia; Georgia Institute of Technology
摘要：Markov chain Monte Carlo algorithms play a key role in the Bayesian approach to phylogenetic inference. In this paper, we present the first theoretical work analyzing the rate of convergence of several Markov chains widely used in phylogenetic inference. We analyze simple, realistic examples where these Markov chains fail to converge quickly. In particular, the data studied are generated from a pair of trees, under a standard evolutionary model. We prove that many of the popular Markov chains ...
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作者：Klein, Irene
作者单位：University of Vienna
摘要：The main result of the paper is a version of the fundamental theorem of asset pricing (FTAP) for large financial markets based on an asymptotic concept of no market free lunch for monotone concave preferences. The proof uses methods from the theory of Orlicz spaces. Moreover, various notions of no asymptotic arbitrage are characterized in terms of no asymptotic market free lunch; the difference lies in the set of utilities. In particular, it is shown directly that no asymptotic market free lun...
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作者：MacPhee, I. M.; Menshikov, M. V.; Popov, S.; Volkov, S.
作者单位：Durham University; University of Bristol; Universidade de Sao Paulo
摘要：We consider an exhaustive polling system with three nodes in its transient regime under a switching rule of generalized greedy type. We show that, for the system with Poisson arrivals and service times with finite second moment, the sequence of nodes visited by the server is eventually periodic almost surely. To do this, we construct a dynamical system, the triangle process, which we show has eventually periodic trajectories for almost all sets of parameters and in this case we show that the s...
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作者：Roberts, Gareth O.; Rosenthal, Jeffrey S.
作者单位：Lancaster University; University of Toronto
摘要：A phi-irreducible and aperiodic Markov chain with stationary probability distribution will converge to its stationary distribution from almost all starting points. The property of Harris recurrence allows us to replace almost all by all, which is potentially important when running Markov chain Monte Carlo algorithms. Full-dimensional Metropolis-Hastings algorithms are known to be Harris recurrent. In this paper, we consider conditions under which Metropolis-within-Gibbs and trans-dimensional M...
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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...
