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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...
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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 ...
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作者：Etheridge, Alison; Pfaffelhuber, Peter; Wakolbinger, Anton
作者单位：University of Oxford; University of Munich; Goethe University Frankfurt
摘要：For a genetic locus carrying a strongly beneficial allele which has just fixed in a large population. we study the ancestry at a linked neutral locus. During this selective sweep'' the linkage between the two loci is broken up by recombination and the ancestry at the neutral locus is modeled by a structured coalescent in a random background. For large selection coefficients et and under an appropriate scaling of the recombination rate. we derive a sampling formula with an order of accuracy of ...
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作者：Guo, Xianping; Rieder, Ulrich
作者单位：Sun Yat Sen University; Ulm University
摘要：This paper is devoted to studying the average optimality in continuous-time Markov decision processes with fairly general state and action spaces. The criterion to be maximized is expected average rewards. The transition rates of underlying continuous-time jump Markov processes are allowed to be unbounded, and the reward rates may have neither upper nor lower bounds. We first provide two optimality inequalities with opposed directions, and also give suitable conditions under which the existenc...
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作者：Alexander, Kenneth S.; Sidoravicius, Vladas
作者单位：University of Southern California
摘要：We consider a polymer, with monomer locations modeled by the trajectory of a Markov chain, in the presence of a potential that interacts with the polymer when it visits a particular site 0. Disorder is introduced by, for example, having the interaction vary from one monomer to another, as a constant u plus i.i.d. mean-0 randomness. There is a critical value of u above which the polymer is pinned, placing a positive fraction of its monomers at 0 with high probability. This critical point may di...
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作者：Blanchet, Jose; Glynn, Peter
作者单位：Harvard University; Stanford University
摘要：Consider a random walk (S-n : n >= 0) with drift - mu and S-0 = 0. Assuming that the increments have exponential moments. negative mean. and are strongly nonlattice. we provide a complete asymptotic expansion (in powers of mu > 0) that corrects the diffusion approximation of the all time maximum M = max(n >= 0) S-n. Our results extend both the first-order correction of Siegmund [Adv in Appl. Probab. 11 (1979) 701-719] and the full asymptotic expansion provided in the Gaussian case by Chang and...
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作者：Kruk, Lukasz; Lehoczky, John; Shreve, Steven
作者单位：Maria Curie-Sklodowska University; Carnegie Mellon University; Carnegie Mellon University
摘要：This paper presents a second-order heavy traffic analysis of a single server queue that processes customers having deadlines using the earliest-deadline-first scheduling policy. For such systems, referred to as real-time queueing systems, performance is measured by the fraction of customers who meet their deadline, rather than more traditional performance measures, such as customer delay, queue length or server utilization. To model such systems, one must keep track of customer lead times (the...
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作者：Chazottes, Jean-Rene; Redig, Frank; Verbitskiy, Evgeny
作者单位：Institut Polytechnique de Paris; Ecole Polytechnique; Centre National de la Recherche Scientifique (CNRS); Leiden University; Leiden University - Excl LUMC; Philips; Philips Research
摘要：We prove an exponential approximation for the law of approximate occurrence of typical patterns for a class of Gibssian sources on the lattice Z(d), d >= 2. From this result, we deduce a law of large numbers and a large deviation result for the waiting time of distorted patterns.
