3期

最新文章

• A mixture representation of π with applications in Markov chain Monte Carlo and perfect sampling AI翻译
  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]. ...
• Generalized urn models of evolutionary processes AI翻译
  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...
• A characterization of hedging portfolios for interest rate contingent claims AI翻译
  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...
• Behavior dominated by slow particles in a disordered asymmetric exclusion process AI翻译
  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...
• Random oriented trees: A model of drainage networks AI翻译
  作者：Gangopadhyay, S; Roy, R; Sarkar, A
  作者单位：Indian Statistical Institute; Indian Statistical Institute Kolkata; Indian Institute of Technology System (IIT System); Indian Institute of Technology (IIT) - Delhi
  摘要：Consider the d-dimensional lattice Z(d) where each vertex is open or closed with probability p or 1 - p, respectively. An open vertex v is connected by an edge to the closest open vertex w such that the dth coordinates of v and w satisfy w(d) = v(d) - 1. In case of nonuniqueness of such a vertex w, we choose any one of the closest vertices with equal probability and independently of the other random mechanisms. It is shown that this random graph is a tree almost surely for d = 2 and 3 and it i...
• Fluid model for a network operating under a fair bandwidth-sharing policy AI翻译
  作者：Kelly, FP; Williams, RJ
  作者单位：University of Cambridge; University of California System; University of California San Diego
  摘要：We consider a model of Internet congestion control that represents the randomly varying number of flows present in a network where bandwidth is shared fairly between document transfers. We study critical fluid models obtained as formal limits under law of large numbers scalings when the average load on at least one resource is equal to its capacity. We establish convergence to equilibria for fluid models and identify the invariant manifold. The form of the invariant manifold gives insight into...
• Scheduling a multi class queue with many exponential servers: Asymptotic optimality in heavy traffic AI翻译
  作者：Atar, R; Mandelbaum, A; Reiman, MI
  作者单位：Technion Israel Institute of Technology; Technion Israel Institute of Technology; Alcatel-Lucent; Lucent Technologies; AT&T
  摘要：We consider the problem of scheduling a queueing system in which many statistically identical servers cater to several classes of impatient customers. Service times and impatience clocks are exponential while arrival processes are renewal. Our cost is an expected cumulative discounted function, linear or nonlinear, of appropriately normalized performance measures. As a special case, the cost per unit time can be a function of the number of customers waiting to be served in each class, the numb...
• Iterated Brownian motion in an open set AI翻译
  作者：DeBlassie, RD
  作者单位：Texas A&M University System; Texas A&M University College Station
  摘要：Suppose a solid has a crack filled with a gas. If the crack reaches the surrounding medium, how long does it take the gas to diffuse out of the crack? Iterated Brownian motion serves as a model for diffusion in a crack. If tau is the first exit time of iterated Brownian motion from the solid, then P(tau > t) can be viewed as a measurement of the amount of contaminant left in the crack at time t. We determine the large time asymptotics of P(tau > t) for both bounded and unbounded sets. We also ...
• Stochastic partial differential equations driven by Levy space-time white noise AI翻译
  作者：Lokka, A; Oksendal, B; Proske, F
  作者单位：University of Oslo; Norwegian School of Economics (NHH)
  摘要：In this paper we develop a white noise framework for the study of stochastic partial differential equations driven by a d-parameter (pure jump) Levy white noise. As an example we use this theory to solve the stochastic Poisson equation with respect to Levy white noise for any dimension d. The solution is a stochastic distribution process given explicitly. We also show that if d less than or equal to 3, then this solution can be represented as a classical random field in L-2(mu), where mu is th...
• On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals AI翻译
  作者：Schied, A
  作者单位：Technical University of Berlin
  摘要：Motivated by optimal investment problems in mathematical finance, we consider a variational problem of Neyman-Pearson type for law-invariant robust utility functionals and convex risk measures. Explicit solutions are found for quantile-based coherent risk measures and related utility functionals. Typically, these solutions exhibit a critical phenomenon: If the capital constraint is below some critical value, then the solution will coincide with a classical solution; above this critical value, ...