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作者：Çetin, U; Jarrow, R; Protter, P; Yildirim, Y
作者单位：Cornell University; Cornell University; Cornell University; Syracuse University
摘要：This paper provides an alternative approach to Duffie and Lando [Econometrica 69 (2001) 633-664] for obtaining a reduced form credit risk model from a structural model. Duffle and Lando obtain a reduced form model by constructing an economy where the market sees the manager's information set plus noise. The noise makes default a surprise to the market. In contrast, we obtain a reduced form model by constructing an economy where the market sees a reduction of the manager's information set. The ...
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作者：Drees, H; Ferreira, A; De Haan, L
作者单位：University of Hamburg; Universidade de Lisboa; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：We prove asymptotic normality of the so-called maximum likelihood estimator of the extreme value index.
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作者：Fuh, CD
作者单位：Academia Sinica - Taiwan
摘要：Let {X-n, n greater than or equal to 0} be a Markov chain on a general state space X with transition probability P and stationary probability pi. Suppose an additive component S-n takes values in the real line R and is adjoined to the chain such that {(X-n, S-n), n greater than or equal to 0} is a Markov random walk. In this paper, we prove a uniform Markov renewal theorem with an estimate on the rate of convergence. This result is applied to boundary crossing problems for {(X-n, S-n), n great...
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作者：Dai, JG; Hasenbein, JJ; Vate, JHV
作者单位：University System of Georgia; Georgia Institute of Technology; University of Texas System; University of Texas Austin
摘要：This article proves that the stability region of a two-station, five-class reentrant queueing network, operating under a nonpreemptive static buffer priority service policy, depends on the distributions of the interarrival and service times. In particular, our result shows that conditions on the mean interarrival and service times are not enough to determine the stability of a queueing network under a particular policy. We prove that when all distributions are exponential, the network is unsta...
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作者：Hobert, JP; Robert, CP
作者单位：State University System of Florida; University of Florida; Universite PSL; Universite Paris-Dauphine; Institut Polytechnique de Paris; ENSAE Paris
摘要：Let X = {X-n : n = 0, 1, 2, . . .} be an irreducible, positive recurrent Markov chain with invariant probability measure pi. We show that if X satisfies a one-step minorization condition, then pi can be represented as an infinite mixture. The distributions in the mixture are associated with the hitting times on an accessible atom introduced via the splitting construction of Athreya and Ney [Trans. Amer. Math. Soc. 245 (1978) 493-501] and Nummelin [Z. Wahrsch. Verw. Gebiete 43 (1978) 309-318]. ...
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作者：Panholzer, A; Prodinger, H
作者单位：Technische Universitat Wien; University of Witwatersrand
摘要：This paper deals with the size of the spanning tree of p randomly chosen nodes in a binary search tree. It is shown via generating functions methods, that for fixed p, the (normalized) spanning tree size converges in law to the Normal distribution. The special case p = 2 reproves the recent result (obtained by the contraction method by Mahmoud and Neininger [Ann. Appl. Probab. 13 (2003) 253-276]), that the distribution of distances in random binary search trees has a Gaussian limit law. In the...
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作者：Avram, F; Kyprianou, AE; Pistorius, MR
作者单位：Universite de Pau et des Pays de l'Adour; Utrecht University; University of London; King's College London
摘要：We consider spectrally negative Levy process and determine the joint Laplace transform of the exit time and exit position from an interval containing the origin of the process reflected in its supremum. In the literature of fluid models, this stopping time can be identified as the time to buffer-overflow. The Laplace transform is determined in terms of the scale functions that appear in the two-sided exit problem of the given Levy process. The obtained results together with existing results on...
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作者：Benaïm, M; Schreiber, SJ; Tarrès, P
作者单位：William & Mary; Universite de Toulouse; Universite Toulouse III - Paul Sabatier
摘要：Generalized Polya urn models can describe the dynamics of finite populations of interacting genotypes. Three basic questions these models can address are: Under what conditions does a population exhibit growth? On the event of growth, at what rate does the population increase? What is the long-term behavior of the distribution of genotypes? To address these questions, we associate a mean limit ordinary differential equation (ODE) with the urn model. Previously, it has been shown that on the ev...
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作者：Carmona, R; Tehranchi, M
作者单位：Princeton University; University of Texas System; University of Texas Austin
摘要：We consider the problem of hedging a European interest rate contingent claim with a portfolio of zero-coupon bonds and show that an HJM type Markovian model driven by an infinite number of sources of randomness does not have some of the shortcomings found in the classical finite-factor models. Indeed, under natural conditions on the model, we find that there exists a unique hedging strategy, and that this strategy has the desirable property that at all times it consists of bonds with maturitie...
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作者：Grigorescu, I; Kang, M; Seppäläinen, T
作者单位：University of Miami; North Carolina State University; University of Wisconsin System; University of Wisconsin Madison
摘要：We study the large space and time scale behavior of a totally asymmetric, nearest-neighbor exclusion process in one dimension with random jump rates attached to the particles. When slow particles are sufficiently rare, the system has a phase transition. At low densities there are no equilibrium distributions, and on the hydrodynamic scale the initial profile is transported rigidly. We elaborate this situation further by finding the correct order of the correction from the hydrodynamic limit, t...
