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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...
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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...
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作者：Luen, Brad; Ramanan, Kavita; Ziedins, Ilze
作者单位：University of California System; University of California Berkeley; Carnegie Mellon University; University of Auckland
摘要：We consider a symmetric tree loss network that supports single-link (unicast) and multi-link (multicast) calls to nearest neighbors and has capacity C on each link. The network operates a control so that the number of multicast calls centered at any node cannot exceed C-V and the number of unicast calls at a link cannot exceed C-E, where C-E, C-V <= C. We show that uniqueness of Gibbs measures on the infinite tree is equivalent to the convergence of certain recursions of a related map. For the...
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作者：Kramkov, Dmitry; Sirbu, Mihai
作者单位：Carnegie Mellon University; Columbia University
摘要：We study the two-times differentiability of the value functions of the primal and dual optimization problems that appear in the setting of expected utility maximization in incomplete markets. We also study the differentiability of the solutions to these problems with respect to their initial values. We show that the key conditions for the results to hold true are that the relative risk aversion coefficient of the utility function is uniformly bounded away from zero and infinity, and that the p...
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作者：Cohen, Serge; Samorodnitsky, Gennady
作者单位：Universite de Toulouse; Universite Toulouse III - Paul Sabatier; Cornell University
摘要：We describe a new class of self-similar symmetric a-stable processes with stationary increments arising as a large time scale limit in a situation where many users are earning random rewards or incurring random costs. The resulting models are different from the ones studied earlier both in their memory properties and smoothness of the sample paths.
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作者：Cvitanic, Jaksa; Liptser, Robert; Rozovskii, Boris
作者单位：California Institute of Technology; Tel Aviv University; University of Southern California
摘要：This paper is concerned with nonlinear filtering of the coefficients in asset price models with stochastic volatility. More specifically, we assume that the asset price process S=(S-t)(t >= 0) is given by dS(t)=m(theta(t))S(t)dt+v(theta(t))S(t)dB(t), where B=(B-t)(t >= 0) is a Brownian motion, v is a positive function and theta=(theta(t))(t >= 0) is a cadlag strong Markov process. The random process theta is unobservable. We assume also that the asset price St is observed only at random times ...
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作者：Hansen, Niels Richard
作者单位：University of Copenhagen
摘要：We consider local alignments without gaps of two independent Markov chains from a finite alphabet, and we derive sufficient conditions for the number of essentially different local alignments with a score exceeding a high threshold to be asymptotically Poisson distributed. From the Poisson approximation a Gumbel approximation of the maximal local alignment score is obtained. The results extend those obtained by Dembo, Karlin and Zeitouni [Ann. Probab. 22 (1994) 2022-2039] for independent seque...
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作者：Andrieu, Christophe; Moulines, Eric
作者单位：University of Bristol; IMT - Institut Mines-Telecom; IMT Atlantique
摘要：In this paper we study the ergodicity properties of some adaptive Markov chain Monte Carlo algorithms (MCMC) that have been recently proposed in the literature. We prove that under a set of verifiable conditions, ergodic averages calculated from the output of a so-called adaptive MCMC sampler converge to the required value and can even, under more stringent assumptions, satisfy a central limit theorem. We prove that the conditions required are satisfied for the independent Metropolis-Hastings ...
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作者：Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis
作者单位：University of Michigan System; University of Michigan; Princeton University; Princeton University; Columbia University
摘要：We study the quickest detection problem of a sudden change in the arrival rate of a Poisson process from a known value to an unknown and unobservable value at an unknown and unobservable disorder time. Our objective is to design an alarm time which is adapted to the history of the arrival process and detects the disorder time as soon as possible. In previous solvable versions of the Poisson disorder problem, the arrival rate after the disorder has been assumed a known constant. In reality, how...
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作者：Lanchier, N.; Neuhauser, C.
作者单位：University of Minnesota System; University of Minnesota Twin Cities
摘要：Competition is a major force in structuring ecological communities. The strength of competition can be measured using the concept of a niche. A niche comprises the set of requirements of an organism in terms of habitat, environment and functional role. The more niches overlap, the stronger competition is. The niche breadth is a measure of specialization: the smaller the niche space of an organism, the more specialized the organism is. It follows that, everything else being equal, generalists t...
