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作者：Klüppelberg, C; Pergamenchtchikov, S
作者单位：Technical University of Munich; Universite de Rouen Normandie; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI)
摘要：We investigate a stationary random coefficient autoregressive process. Using renewal type arguments tailor-made for such processes, we show that the stationary distribution has a power-law tail. When the model is normal, we show that the model is in distribution equivalent to an autoregressive process with ARCH errors. Hence, we obtain the tail behavior of any such model of arbitrary order.
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作者：Huber, M
作者单位：Duke University; Duke University
摘要：Bounding chains are a technique that offers three benefits to Markov chain practitioners: a theoretical bound on the mixing time of the chain under restricted conditions, experimental bounds on the mixing time of the chain that are provably accurate and construction of perfect sampling algorithms when used in conjunction with protocols such as coupling from the past. Perfect sampling algorithms generate variates exactly from the target distribution without the need to know the mixing time of a...
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作者：Glasserman, P; Bin, Y
作者单位：Columbia University
摘要：An American option grants the holder the right to select the time at which to exercise the option, so pricing an American option entails solving an optimal stopping problem. Difficulties in applying standard numerical methods to complex pricing problems have motivated the development of techniques that combine Monte Carlo simulation with dynamic programming. One class of methods approximates the option value at each time using a linear combination of basis functions, and combines Monte Carlo w...
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作者：Komorowski, T; Krupa, G
作者单位：Maria Curie-Sklodowska University; Catholic University of Lublin
摘要：We study the transport of a passive tracer particle in a steady strongly mixing flow with a nonzero mean velocity. We show that there exists a probability measure under which the particle Lagrangian velocity process is stationary. This measure is absolutely continuous with respect to the underlying probability measure for the Eulerian flow.
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作者：Friedland, S; Rider, B; Zeitouni, O
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Duke University; University of Minnesota System; University of Minnesota Twin Cities
摘要：Let A(n) = (a(ij))(i,j=1)(n) be an n x n positive matrix with entries in [a, b], 0 < a less than or equal to b. Let X-n = (roota(ij)x(ij))(i,j=1)(n) be a random matrix, where {x(ij)} are i.i.d. N(0, 1) random variables. We show that for large n, det((XnXn)-X-T) concentrates sharply at the permanent of A(n), in the sense that n(-1) log(det((XnXn)-X-T)/per A(n)) --> (n --> infinity) 0 in probability.
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作者：Stolyar, AL
作者单位：Alcatel-Lucent; Lucent Technologies; AT&T
摘要：We consider a generalized switch model, which includes as special cases the model of multiuser data scheduling over a wireless medium, the input-queued cross-bar switch model and a discrete time version of a parallel server queueing system. Input flows n = 1,...,N are served in discrete time by a switch. The switch state follows a finite state, discrete time Markov chain. In each state m, the switch chooses a scheduling decision k from a finite kset K(m), which has the associated service rate ...
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作者：Lazrak, A
作者单位：University of British Columbia
摘要：This paper develops, in a Brownian information setting, an approach for analyzing the preference for information, a question that motivates the stochastic differential utility (SDU) due to Duffie and Epstein [Econometrica 60 (1992) 353-394]. For a class of backward stochastic differential equations (BSDEs) including the generalized SDU [Lazrak and Quenez Math. Oper Res. 28 (2003) 154-180], we formulate the information neutrality property as an invariance principle when the filtration is coarse...
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作者：Cline, DBH; Pu, HMH
作者单位：Texas A&M University System; Texas A&M University College Station
摘要：The Lyapounov exponent and sharp conditions for geometric ergodicity are determined of a time series model with both a threshold autoregression term and threshold autoregressive conditional heteroscedastic (ARCH) errors. The conditions require studying or simulating the behavior of abounded, ergodic Markov chain. The method of proof is based on a new approach, called the piggyback method, that exploits the relationship between the time series and the bounded chain. The piggyback method also pr...
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作者：Zwart, B; Borst, S; Mandjes, M
作者单位：Eindhoven University of Technology; Centrum Wiskunde & Informatica (CWI)
摘要：We consider a fluid queue fed by multiple On-Off flows with heavy-tailed (regularly varying) On periods. Under fairly mild assumptions, we prove that the workload distribution is asymptotically equivalent to that in a reduced system. The reduced system consists of a dominant subset of the flows, with the original service rate subtracted by the mean rate of the other flows. We describe how a dominant set may be determined from a simple knapsack formulation. The dominant set consists of a minima...
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作者：Choulli, T; Taksar, M; Xun, YZ
作者单位：University of Alberta; University of Missouri System; University of Missouri Columbia; Chinese University of Hong Kong
摘要：We study a model of a corporation which has the possibility to choose various production/business policies with different expected profits and risks. In the model there are restrictions on the dividend distribution rates as well as restrictions on the risk the company can undertake. The objective is to maximize the expected present value of the total dividend distributions. We outline the corresponding Hamilton-Jacobi-Bellman equation, compute explicitly the optimal return function and determi...
