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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：Douc, R; Fort, G; Moulines, E; Soulier, P
作者单位：Institut Polytechnique de Paris; Ecole Polytechnique; IMT - Institut Mines-Telecom; IMT Atlantique; Communaute Universite Grenoble Alpes; Universite Grenoble Alpes (UGA); Universite Paris Saclay
摘要：We present a new drift condition which implies rates of convergence to the stationary distribution of the iterates of a psi-irreducible aperiodic and positive recurrent transition kernel. This condition, extending a condition introduced by Jarner and Roberts [Anti. Appl. Probab. 12 (2002) 224-247] for polynomial convergence rates, turns out to be very convenient to prove subgeometric rates of convergence. Several applications are presented including nonlinear autoregressive models, stochastic ...
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作者：Ney, PE; Vidyashankar, AN
作者单位：University of Wisconsin System; University of Wisconsin Madison; University System of Georgia; University of Georgia
摘要：In this paper we study several aspects of the growth of a supercritical Galton-Watson process {Z(n) : n greater than or equal to 1}, and bring out some criticality phenomena determined by the Schroder constant. We develop the local limit theory of Z(n), that is, the behavior of P(Z(n) = v(n)) as v(n) NE arrow infinity, and use this to study conditional large deviations of {Y-Zn : n greater than or equal to 1}, where Y-n satisfies an LDP, particularly of {Z(n)(-1) Z(n+1) : n greater than or equ...
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作者：Lamberton, D; Pagès, G; Tarrès, P
作者单位：Universite Paris-Est-Creteil-Val-de-Marne (UPEC); Universite Gustave-Eiffel; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Sorbonne Universite; Centre National de la Recherche Scientifique (CNRS); Universite de Toulouse; Universite Toulouse III - Paul Sabatier
摘要：We investigate the asymptotic behavior of one Version of the so-called two-armed bandit algorithm. It is an example of stochastic approximation procedure whose associated ODE has both a repulsive and an attractive equilibrium, at which the procedure is noiseless. We show that if the gain parameter is constant or goes to 0 not too fast, the algorithm does fall in the noiseless repulsive equilibrium with positive probability, whereas it always converges to its natural attractive target when the ...
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作者：Breyer, LA; Piccioni, M; Scarlatti, S
作者单位：Lancaster University; G d'Annunzio University of Chieti-Pescara; Sapienza University Rome
摘要：We address the problem of simulating efficiently from the posterior distribution over the parameters of a particular class of nonlinear regression models using a Langevin-Metropolis sampler. It is shown that as the number N of parameters increases, the proposal variance must scale as N-1/3 in order to converge to a diffusion. This generalizes previous results of Roberts and Rosenthal [J. R. Stat. Soc. Ser B Stat. Methodol. 60 (1998) 255-268] for the i.i.d. case, showing the robustness of their...
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作者：Huzak, M; Perman, M; Sikic, H; Vondracek, Z
作者单位：University of Zagreb; University of Ljubljana
摘要：We study a general perturbed risk process with cumulative claims modelled by a subordinator with finite expectation, with the perturbation being a spectrally negative Levy process with zero expectation. We derive a Pollaczek-Hinchin type formula for the survival probability of that risk process, and give an interpretation of the formula based on the decomposition of the dual risk process at modified ladder epochs.
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作者：Kruk, L; Lehoczky, J; Shreve, S; Yeung, SN
作者单位：Maria Curie-Sklodowska University; Carnegie Mellon University; Carnegie Mellon University; AT&T
摘要：This paper presents a heavy traffic analysis of the behavior of multi-class acyclic queueing networks in which the customers have deadlines. We assume the queueing system consists of J stations, and there are K different customer classes. Customers from each class arrive to the network according to independent renewal processes. The customers from each class are assigned a random deadline drawn from a deadline distribution associated with that class and they move from station to station accord...
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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...
