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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：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：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...
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作者：Douc, R; Moulines, E; Rosenthal, JS
作者单位：Institut Polytechnique de Paris; Ecole Polytechnique; IMT - Institut Mines-Telecom; IMT Atlantique; Centre National de la Recherche Scientifique (CNRS); University of Toronto
摘要：Convergence rates of Markov chains have been widely studied in recent years. In particular, quantitative bounds on convergence rates have been studied in various forms by Meyn and Tweedie [Ann. Appl. Probab. 4 (1994) 981-1101], Rosenthal [J. Amer. Statist. Assoc. 90 (1995) 558-566], Roberts and Tweedie [Stochastic Process. Appl. 80 (1999) 211-229], Jones and Hobert [Statist. Sci. 16 (2001) 312-334] and Fort [Ph.D. thesis (2001) Univ. Paris VI]. In this paper, we extend a result of Rosenthal [J...
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作者：Iyengar, G; Sigman, K
作者单位：Columbia University
摘要：We introduce penalty-function-based admission control policies to approximately maximize the expected reward rate in a loss network. These control policies are easy to implement and perform well both in the transient period as well as in steady state. A major advantage of the penalty approach is that it avoids solving the associated dynamic program. However, a disadvantage of this approach is that it requires the capacity requested by individual requests to be sufficiently small compared to to...
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作者：Popovic, L
作者单位：University of California System; University of California Berkeley
摘要：Consider a continuous-time binary branching process conditioned to have population size n at some time t, and with a chance p for recording each extinct individual in the process. Within the family tree of this process, we consider the smallest subtree containing the genealogy of the extant individuals together with the genealogy of the recorded extinct individuals. We introduce a novel representation of such subtrees in terms of a point-process, and provide asymptotic results on the distribut...
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作者：Jerrum, M; Son, JB; Tetali, P; Vigoda, E
作者单位：University of Edinburgh; University System of Georgia; Georgia Institute of Technology; University of Chicago
摘要：We consider finite-state Markov chains that can be naturally decomposed into smaller projection and restriction chains. Possibly this decomposition will be inductive, in that the restriction chains will be smaller copies of the initial chain. We provide expressions for Poincare (resp. log-Sobolev) constants of the initial Markov chain in terms of Poincare (resp. log-Sobolev) constants of the projection and restriction chains, together with further a parameter. In the case of the Poincare const...
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作者：Fournier, N; Méléard, S
作者单位：Universite de Lorraine; Universite Paris Nanterre
摘要：We consider a discrete model that describes a locally regulated spatial population with mortality selection. This model was studied in parallel by Bolker and Pacala and Dieckmann, Law and Murrell. We first generalize this model by adding spatial dependence. Then we give a pathwise description in terms of Poisson point measures. We show that different normalizations may lead to different macroscopic approximations of this model. The first approximation is deterministic and gives a rigorous sens...
