2期

最新文章

• Diffusion approximation for a processor sharing queue in heavy traffic AI翻译
  作者：Gromoll, HC
  摘要：Consider a single server queue with renewal arrivals and i.i.d. service times in which the server operates under a processor sharing service discipline. To describe the evolution of this system, we use a measure valued process that keeps track of the residual service times of all jobs in the system at any given time. From this measure valued process, one can recover the traditional performance processes, including queue length and workload. We show that under mild assumptions, including standa...
• The asymptotic distributions of the largest entries of sample correlation matrices AI翻译
  作者：Jiang, TF
  作者单位：University of Minnesota System; University of Minnesota Twin Cities
  摘要：Let X-n = (x(ij)) be an n by p data matrix, where the n rows form a random sample of size n from a certain p-dimensional population distribution. Let R-n = (rho(ij)) be the p x p sample correlation matrix of X-n; that is, the entry rho(ij) is the usual Pearson's correlation coefficient between the i th column of X-n and j th column of X-n. For contemporary data both n and p are large. When the population is a multivariate normal we study the test that H-0: the p variates of the population are ...
• Invariant states and rates of convergence for a critical fluid model of a processor sharing queue AI翻译
  作者：Puha, AL; Williams, RJ
  作者单位：California State University System; California State University San Marcos; University of California System; University of California San Diego
  摘要：This paper contains an asymptotic analysis of a fluid model for a heavily loaded processor sharing queue. Specifically, we consider the behavior of solutions of critical fluid models as time approaches infinity. The main theorems of the paper provide sufficient conditions for a fluid model solution to converge to an invariant state and, under slightly more restrictive assumptions, provide a rate of convergence. These results are used in a related work by Gromoll for establishing a heavy traffi...
• Optimal Hoeffding bounds for discrete reversible Markov chains AI翻译
  作者：León, CA; Perron, F
  作者单位：Universidad de Concepcion; Universite de Montreal
  摘要：We build optimal exponential bounds for the probabilities of large deviations of sums Sigma(k)(=1)(n) f (X(k)) where (X(k)) is a finite reversible Markov chain and f is an arbitrary bounded function. These bounds depend only on the stationary mean Sigmapi f the end-points of the support of f, the sample size n and the second largest eigenvalue lambda of the transition matrix.
• Dual formulation of the utility maximization problem: The case of nonsmooth utility AI翻译
  作者：Bouchard, B; Touzi, N; Zeghal, A
  作者单位：Institut Polytechnique de Paris; ENSAE Paris; Sorbonne Universite; Universite PSL; Universite Paris-Dauphine
  摘要：We study the dual formulation of the utility maximization problem in incomplete markets when the utility function is finitely valued on the whole real line. We extend the existing results in this literature in two directions. First, we allow for nonsmooth utility functions, so as to include the shortfall minimization problems in our framework. Second, we allow for the presence of some given liability or a random endowment. In particular, these results provide a dual formulation of the utility ...
• On the minimal travel time needed to collect n items on a circle AI翻译
  作者：Litvak, N; van Zwet, WR
  作者单位：University of Twente; Leiden University - Excl LUMC; Leiden University
  摘要：Consider n items located randomly on a circle of length 1. The locations of the items are assumed to be independent and uniformly distributed on [0, 1). A picker starts at point 0 and has to collect all n items by moving along the circle at unit speed in either direction. In this paper we study the minimal travel time of the picker. We obtain upper bounds and analyze the exact travel time distribution. Further, we derive closed-form limiting results when n tends to infinity. We determine the b...
• On overload in a storage model, with a self-similar and infinitely divisible input AI翻译
  作者：Albin, JMP; Samorodnitsky, G
  作者单位：Chalmers University of Technology; Cornell University; Cornell University
  摘要：Let {X(t)}(tgreater than or equal to0) be a locally bounded and infinitely divisible stochastic process, with no Gaussian component, that is self-similar with index H > 0. Pick constants gamma > H and c > 0. Let nu be the Levy measure on R-[0,R-infinity) of X, and suppose that R(u) equivalent to nu({y epsilon R-[0,R-infinity) :sup(tgreater than or equal to0) y(t)1/(1 + ct(gamma)) > u}) is suitably heavy tailed as u --> infinity (e.g., subexponential with positive decrease). For the storage pro...
• Convergence rate of linear two-time-scale stochastic approximation AI翻译
  作者：Konda, VR; Tsitsiklis, JN
  作者单位：Massachusetts Institute of Technology (MIT)
  摘要：We study the rate of convergence of linear two-time-scale stochastic approximation methods. We consider two-time-scale linear iterations driven by i.i.d. noise, prove some results on their asymptotic covariance and establish asymptotic normality. The well-known result [Polyak, B. T. (1990). Automat. Remote Contr 51 937-946; Ruppert, D. (1988). Technical Report 781, Cornell Univ.] on the optimality of Polyak-Ruppert averaging techniques specialized to linear stochastic approximation is establis...
• Coalescence in a random background AI翻译
  作者：Barton, NH; Etheridge, AM; Sturm, AK
  作者单位：University of Edinburgh; University of Oxford; Technical University of Berlin
  摘要：We consider a single genetic locus which carries two alleles, labelled P and Q. This locus experiences selection and mutation. It is linked to a second neutral locus with recombination rate r. If r = 0, this reduces to the study of a single selected locus. Assuming a Moran model for the population dynamics, we pass to a diffusion approximation and, assuming that the allele frequencies at the selected locus have reached stationarity, establish the joint generating function for the genealogy of ...