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作者：Cheridito, P; Soner, HM; Touzi, N
作者单位：Princeton University; Koc University; Institut Polytechnique de Paris; ENSAE Paris
摘要：We study the small time path behavior of double stochastic integrals of othe form f(0)(t)(f(0)(r) b(u) dW(u))(T) dW(r), where W is ad-dimensional Brownian motion and b is an integrable progressively measurable stochastic process taking values in the set of d x d-matrices. We prove a law of the iterated logarithm that holds for all bounded progressively measurable b and give additional results under continuity assumptions on b. As an application, we discuss a stochastic control problem that ari...
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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：Goel, A; Rai, S; Krishnamachari, B
作者单位：Stanford University; Stanford University; Stanford University
摘要：Random geometric graphs result from taking n uniformly distributed points in the unit cube, [0, 1](d), and connecting two points if their Euclidean distance is at most r, for some prescribed r. We show that monotone properties for this class of graphs have sharp thresholds by reducing the problem to bounding the bottleneck matching oil two sets of n points distributed uniformly in [0, 1](d). We present upper bounds on the threshold width, and show that our bound is sharp for d = 1 and at most ...
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作者：Kebaier, A
作者单位：Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Universite Paris-Est-Creteil-Val-de-Marne (UPEC); Universite Gustave-Eiffel
摘要：We study the approximation of Ef(X-T) by a Monte Carlo algorithm, where X is the solution of a stochastic differential equation and f is a given function. We introduce a new variance reduction method, which can be viewed as a statistical analogue of Romberg extrapolation method. Namely, we use two Euler schemes with steps delta and delta(beta), 0 < beta < 1. This leads to an algorithm which, for a given level of the statistical error, has a complexity significantly lower than the complexity of...
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作者：Banner, AD; Fernholz, R; Karatzas, I
作者单位：Columbia University
摘要：Atlas-type models are constant-parameter models of uncorrelated stocks for equity markets with a stable capital distribution, in which the growth rates and variances depend on rank. The simplest such model assigns the same, constant variance to all stocks; zero rate of growth to all stocks but the smallest-, and positive growth rate to the smallest, the Atlas stock. In this paper we study the basic properties of this class of models, as well as the behavior of various portfolios in their midst...
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作者：Pène, F
作者单位：Universite de Bretagne Occidentale
摘要：We show how Rio's method [Probab. Theory Related Fields 104 (1996) 255-282] can be adapted to establish a rate of convergence in (1)/root n in the multidimensional central limit theorem for some stationary processes in the sense of the Kantorovich metric. We give two applications of this general result: in the case of the Knudsen gas and in the case of the Sinai billiard.
