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作者：Mania, M; Schweizer, M
作者单位：Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：We study the dynamics of the exponential utility indifference value process C(B; alpha) for a contingent claim B in a semimartingale model with a general continuous filtration. We prove that C(B; alpha) is (the first component of) the unique solution of a backward stochastic differential equation with a quadratic generator and obtain BMO estimates for the components of this solution. This allows us to prove several new results about C-t (B; alpha). We obtain continuity in B and local Lipschitz...
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作者：Mora, CM
作者单位：Universidad de Concepcion
摘要：The paper deals with the numerical solution of the nonlinear lto stochastic differential equations (SDEs) appearing in the unravelling of quantum master equations. We first develop an exponential scheme of weak order I for general globally Lipschitz SDEs governed by Brownian motions. Then, we proceed to study the numerical integration of a class of locally Lipschitz SDEs. More precisely, we adapt the exponential scheme obtained in the first part of the work to the characteristics of certain fi...
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作者：Ellis, RS; Otto, PT; Touchette, H
作者单位：University of Massachusetts System; University of Massachusetts Amherst; Union College; University of London; Queen Mary University London
摘要：In this paper we give a complete analysis of the phase transitions in the mean-field Blume-Emery-Griffiths lattice-spin model with respect to the canonical ensemble, showing both a second-order, continuous phase transition and a first-order, discontinuous phase transition for appropriate values of the thermodynamic parameters that define the model. These phase transitions are analyzed both in terms of the empirical measure and the spin per site by studying bifurcation phenomena of the correspo...
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作者：Schweinsberg, J; Durrett, R
作者单位：University of California System; University of California San Diego; Cornell University
摘要：When a beneficial mutation occurs in a population, the new, favored allele may spread to the entire population. This process is known as a selective sweep. Suppose we sample n individuals at the end of a selective sweep. If we focus on a site on the chromosome that is close to the location of the beneficial mutation, then many of the lineages will likely be descended from the individual that had the beneficial mutation, while others will be descended from a different individual because of reco...
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作者：Luczak, MJ; McDiarmid, C
作者单位：University of London; London School Economics & Political Science; University of Oxford
摘要：Suppose that there are n bins, and balls arrive in a Poisson process at rate lambda n, where lambda > 0 is a constant. Upon arrival, each ball chooses a fixed number d of random bins, and is placed into one with least load. Balls have independent exponential lifetimes with unit mean. We show that the system converges rapidly to its equilibrium distribution; and when d > 2, there is an integer-valued function m(d)(n) = 1n1nn/1nd + O(1) such that, in the equilibrium distribution, the maximum loa...
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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：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...
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作者：Foss, S; Palmowski, Z; Zachary, S
作者单位：Heriot Watt University; University of Wroclaw; Utrecht University
摘要：We study the asymptotic probability that a random walk with heavy-tailed increments crosses a high boundary on a random time interval. We use new techniques to extend results of Asmussen [Ann. Appl. Probab. 8 (1998) 354-374] to completely general stopping times, uniformity of convergence over all stopping times and a wide class of nonlinear boundaries. We also give some examples and counterexamples.
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作者：Sagitov, S; Jagers, P
作者单位：Chalmers University of Technology
摘要：We establish convergence to the Kingman coalescent for a class of age-structured population models with time-constant population size. Time is discrete with unit called a year. Offspring numbers in a year may depend on mother's age.
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作者：Luczak, MJ; Norris, J
作者单位：University of London; London School Economics & Political Science; University of Cambridge
摘要：We prove three strong approximation theorems for the supermarket or join the shortest queue model-a law of large numbers, a jump process approximation and a central limit theorem. The estimates are carried through rather explicitly, and rely in part on couplings. This allows us to approximate each of the infinitely many components of the process in its own scale and to exhibit a cut-off in the set of active components which grows slowly with the number of servers.
