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作者：Gao, FQ; Quastel, J
作者单位：Hubei University; University of Toronto
摘要：We give bounds on the exponential decay rate of entropy in the random transposition model and the Bernoulli-Laplace model which are independent of the number of sites and the number of particles. This is then used to give a bound on the time to stationarity in the total variation norm.
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作者：Guérin, H
作者单位：Universite Paris Nanterre
摘要：This article deals with a way to solve the spatially homogeneous Landau equation using probabilistic tools. Thanks to the study of a nonlinear stochastic differential equation driven by a space-time white noise, we state the existence of a measure solution of the Landau equation with probability measure initial data, for a generalization of the Maxwellian molecules case. Then, by approximation of the Landau coefficients, the first result helps us to state the existence of a measure solution fo...
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作者：Joyce, P; Krone, SM; Kurtz, TG
作者单位：University of Idaho; University of Wisconsin System; University of Wisconsin Madison; University of Wisconsin System; University of Wisconsin Madison
摘要：One of the goals of this paper is to show that the infinite-alleles model with overdominant selection looks like the neutral infinite-alleles model when the selection intensity and mutation rate get large together. This rather surprising behavior was noticed by Gillespie (1999) in simulations. To make rigorous and refine Gillespie's observations, we analyze the limiting behavior of the likelihood ratio of the stationary distributions for the model under selection and neutrality, as the mutatio...
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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：A single queueing station that serves K input streams is considered. Each stream is an independent renewal process, with customers having random lead times. Customers are served by processor sharing across streams. Within each stream, two disciplines are considered-earliest deadline first and first-in, first-out. The set of current lead times of the K streams is modeled as a K-dimensional vector of random counting measures on R, and the limit of this vector of measure-valued processes is obtai...
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作者：Chow, Y; Zhang, Y
作者单位：Academia Sinica - Taiwan; University of Colorado System; University of Colorado at Colorado Springs
摘要：Consider the standard first-passage percolation on Z(d), d greater than or equal to 2. Denote by phi(0,n) the face-face first-passage time in [0, n](d). It is well known that Lim(n-->infinity) phi0,n/n = mu(F) a.s. and in L-1, where F is the common distribution on each edge. In this paper we show that the upper and lower tails of phi(0,n) are quite different when mu(F) > 0. More precisely, we can show that for small epsilon > 0, there exist constants alpha(epsilon, F) and beta(epsilon, F) such...
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作者：Detemple, J; Feng, S; Tian, WD
作者单位：Boston University; University of Waterloo; McMaster University
摘要：This paper examines the valuation of call options on the minimum of two dividend-paying assets. We show that the optimal exercise boundary consists of three components, two continuous curves and one component along the diagonal with empty interior. The option price is shown to satisfy the early exercise premium representation in which the gains from exercise involve the local time of the minimum of the two underlying asset prices. A system of recursive integral equations for the exercise bound...
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作者：Chen, MF; Wang, YZ
作者单位：Beijing Normal University
摘要：Algebraic convergence in the L-2-sense is studied for general time-continuous, reversible Markov chains with countable state space, and especially for birth-death chains. Some criteria for the convergence are presented. The results are effective since the convergence region can be completely covered, as illustrated by two examples.
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作者：Asselah, A; Castell, F
作者单位：Aix-Marseille Universite
摘要：We show the existence of nontrivial quasi-stationary measures for conservative attractive particle systems on Z(d) conditioned on avoiding an increasing local set A. Moreover, we exhibit a sequence of measures {nu(n)} whose omega-limit set consists of quasi-stationary measures. For zero-range processes, with stationary measure nu(rho), we prove the existence of an L-2(nu(rho)) nonnegative eigenvector for the generator with Dirichlet boundary on A, after establishing a priori bounds on the {nu(...
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作者：Klein, I
作者单位：University of Vienna
摘要：A large financial market is described by a sequence of traditional market models with finite numbers of assets. There are various concepts in the spirit of no asymptotic arbitrage related to the contiguity of a sequence of equivalent martingale measures with respect to the sequence of historical probabilities. In this article, I show that in the case of continuous price processes, the existence of a bicontiguous sequence of martingale measures is equivalent to the property of no asymptotic fre...
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作者：Duffie, D; Filipovic, D; Schachermayer, W
作者单位：Stanford University; Technische Universitat Wien; Princeton University
摘要：We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuous-state branching processes with immigration and Ornstein-Uhlenbeck type processes. We show, and provide foundations for, a wide range of financial applications for regular affine processes.
