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作者：Barbour, AD; Pugliese, A
作者单位：University of Zurich; University of Trento
摘要：We study the behavior of an infinite system of ordinary differential equations modeling the dynamics of a metapopulation, a set of (discrete) populations subject to local catastrophes and connected via migration under a mean field rule; the local population dynamics follow a generalized logistic law. We find a threshold below which all the solutions tend to total extinction of the metapopulation, which is then the only equilibrium; above the threshold, there exists a unique equilibrium with po...
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作者：Ekeland, I; Taflin, E
作者单位：University of British Columbia; CY Cergy Paris Universite; Ecole Internationale des Sciences du Traitement de linformation
摘要：We introduce a bond portfolio management theory based on foundations similar to those of stock portfolio management. A general continuous-time zero-coupon market is considered. The problem of optimal portfolios of zero-coupon bonds is solved for general utility functions, under a condition of no-arbitrage in the zero-coupon market. A mutual fund theorem is proved, in the case of deterministic volatilities. Explicit expressions are given for the optimal solutions for several utility functions.
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作者：Cavazos-Cadena, R; Hernández-Hernández, D
作者单位：CIMAT - Centro de Investigacion en Matematicas
摘要：This work concerns controlled Markov chains with finite state and action spaces. The transition law satisfies the simultaneous Doeblin condition, and the performance of a control policy is measured by the (long-run) risk-sensitive average cost criterion associated to a positive, but otherwise arbitrary, risk sensitivity coefficient. Within this context, the optimal risk-sensitive average cost is characterized via a minimization problem in a finite-dimensional Euclidean space.
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作者：Haas, B
作者单位：Universite Paris Cite; Sorbonne Universite; Sorbonne Universite; Universite Paris Cite; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI)
摘要：This paper introduces stochastic processes that describe the evolution of systems of particles in which particles immigrate according to a Poisson measure and split according to a self-similar fragmentation. Criteria for existence and absence of stationary distributions are established and uniqueness is proved. Also, convergence rates to the stationary distribution are given. Linear equations which are the deterministic counterparts of fragmentation with immigration processes are next consider...
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作者：Ben Arous, G; Cerny, J
作者单位：New York University; Leibniz Association; Weierstrass Institute for Applied Analysis & Stochastics
摘要：Let E-i be a collection of i.i.d. exponential random variables. Bouchaud's model on Z is a Markov chain X(t) whose transition rates are given by w(ij) = vexp(-beta((1 - a)E-i - aE(j))) if i, j are neighbors in Z. We study the behavior of two correlation functions: P[X(t(w) + t) = X(t(w))] and P[X (t') = X (t(w)) for all t' epsilon [t(w), t(w) + t]]. We prove the (sub)aging behavior of these functions when beta > 1 and a epsilon [0, 1].
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作者：Foley, RD; McDonald, DR
作者单位：University System of Georgia; Georgia Institute of Technology; University of Ottawa
摘要：We extend the Markov additive methodology developed in [Ann. Appl. Probab. 9 (1999) 110-145, Ann. Appl. Probab. 11 (2001) 596-607] to obtain the sharp asymptotics of the steady state probability of a queueing network when one of the nodes gets large. We focus on a new phenomenon we call a bridge. The bridge cases occur when the Markovian part of the twisted Markov additive process is one null recurrent or one transient, while the jitter cases treated in [Ann. Appl. Probab. 9 (1999) 110-145, An...
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作者：Atar, R
作者单位：Technion Israel Institute of Technology
摘要：A multiclass queueing system is considered, with heterogeneous service stations, each consisting of many servers with identical capabilities. An optimal control problem is formulated, where the control corresponds to scheduling and routing, and the cost is a cumulative discounted functional of the system's state. We examine two versions of the problem: nonpreemptive, where service is uninterruptible, and preemptive, where service to a customer can be interrupted and then resumed, possibly at a...
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作者：Piau, D
作者单位：Centre National de la Recherche Scientifique (CNRS); Ecole Centrale de Lyon; Institut National des Sciences Appliquees de Lyon - INSA Lyon; Universite Claude Bernard Lyon 1; Universite Jean Monnet; CNRS - National Institute for Mathematical Sciences (INSMI)
摘要：We study some stochastic models of physical mapping of genomic sequences. Our starting point is a global construction of the process of the clones and of the process of the anchors which are used to map the sequence. This yields explicit formulas for the moments of the proportion occupied by the anchored clones, even in inhomogeneous models. This also allows to compare, in this respect, inhomogeneous models to homogeneous ones. Finally, for homogeneous models, we provide nonasymptotic bounds o...
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作者：Hwang, CR; Hwang-Ma, SY; Sheu, SJ
作者单位：Academia Sinica - Taiwan; Soochow University - China
摘要：Roughly speaking, L-C is a perturbation of the self-adjoint L-0 by an antisymmetric operator C (.) del, where C is weighted divergence free. We prove that lambda(C) <= (0) and equality holds only in some rare situations. Furthermore, rho(C) <= lambda(C) and equality holds for C = 0. In other words, adding an extra drift, C(x), accelerates convergence. Related problems are also discussed.
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作者：Gamarnik, D; Hasenbein, JJ
作者单位：International Business Machines (IBM); IBM USA; University of Texas System; University of Texas Austin
摘要：The fluid model has proven to be one of the most effective tools for the analysis of stochastic queueing networks, specifically for the analysis of stability. It is known that stability of a fluid model implies positive (Harris) recurrence (stability) of a corresponding stochastic queueing network, and weak stability implies rate stability of a corresponding stochastic network. These results have been established both for cases of specific scheduling policies and for the class of all nonidling...
