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作者：Latouche, G; Remiche, MA; Taylor, P
作者单位：Universite Libre de Bruxelles; Universite Libre de Bruxelles; University of Melbourne
摘要：We define the family of transient Markov arrival processes (transient MAPS) which combine features of transient (or terminating) renewal processes and of the well-known MAPS: transient MAPS are point processes on the line, controlled by a finite Markov chain, which almost surely comprise a finite number of points. We analyze their basic properties.
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作者：Alanyali, M
作者单位：Boston University; Boston University
摘要：Two channel assignment policies are considered for a Kelly type loss network with an additional channel continuity requirement. It is assumed that the channels on any given link have distinct identities, and that a connection should be assigned channels with a common identity on all links of its route. Such constraints arise in circuit switched WDM optical networks and wireless cellular networks. A functional law of large numbers, which was previously developed by Hunt and Kurtz and later refi...
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作者：Alvarez, LHR
作者单位：University of Turku
摘要：We consider the convexity and comparative static properties of a class of r-harmonic mappings for a given linear, time-homogeneous and regular diffusion process. We present a set of weak conditions under which the minimal r-excessive mappings for the considered diffusion are convex and under which an arbitrary nontrivial r-excessive mapping is convex on the regions where it is r-harmonic. Consequently, we are able to present a set of usually satisfied, conditions under which increased volatili...
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作者：Stacey, A
作者单位：University of Cambridge
摘要：Partial immunization processes are generalizations of the contact process in which the susceptibility of a site to infection depends on whether or not it has been previously infected. Such processes can exhibit a phase of weak survival, in which the process survives but drifts off to infinity, even on graphs such as Z(d), where no such phase exists for the contact process. We establish that whether or not strong survival occurs depends only on the rate at which sites are reinfected and not on ...
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作者：Kramkov, D; Schachermayer, W
作者单位：Carnegie Mellon University; Technische Universitat Wien
摘要：Following Ann. Appl. Probab. 9 (1999) 904-950 we continue the study of the problem of expected utility maximization in incomplete markets. Our goal is to find minimal conditions on a model and a utility function for the validity of several key assertions of the theory to hold true. In the previous paper we proved that a minimal condition on the utility function alone, that is, a minimal market independent condition, is that the asymptotic elasticity of the utility function is strictly less tha...
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作者：Goll, T; Kallsen, J
作者单位：University of Freiburg
摘要：D. Kramkov and W. Schachermayer [Ann. Appl. Probab. 9 (1999) 904950] proved the existence of log-optimal portfolios under weak assumptions in a very general setting. For many-but not all-cases, T. Goll and J. Kallsen [Stochastic Process. Appl. 89 (2000) 31-48] obtained the optimal solution explicitly in terms of the semimartingale characteristics of the price process. By extending this result, this paper provides a complete explicit characterization of log-optimal portfolios without constraint...
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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：Let {Z(n), n greater than or equal to 1) be a single type supercritical Galton-Watson process with mean EZ(1) equivalent to m initiated by a single ancestor. This paper studies the large deviation behavior of the sequence {R-n equivalent to (Zn)-(Zn+1) : n greater than or equal to 1} and establishes a phase transition in rates depending on whether r, the maximal number of moments possessed by the offspring distribution, is less than, equal to or greater than the Schroder constant alpha. This i...
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作者：Chassaing, P; Marckert, JF; Yor, M
作者单位：Universite de Lorraine; Universite Paris Saclay; Universite Paris Cite; Sorbonne Universite
摘要：Odlyzko [Random Structures Algorithms 6 (1995) 275-295] exhibited an asymptotically optimal algorithm, with respect to the average cost, among algorithms that find the maximum of a random walk by using only probes and comparisons. We extend Odlyzko's techniques to prove that his algorithm is indeed asymptotically optimal in distribution (with respect to the stochastic order). We also characterize the limit law of its cost. Computing its moments in two ways allows us to recover a surprising ide...
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作者：Kunitomo, N; Takahashi, A
作者单位：University of Tokyo; University of Tokyo
摘要：Kunitomo and Takahashi (1995, 2001) have proposed a new methodology, called small disturbance asymptotics, for the valuation problem of financial contingent claims when the underlying asset prices follow a general class of continuous Ito processes. It can be applicable to a wide range of valuation problems, including complicated contingent claims associated with the Black-Scholes model and the term structure model of interest rates in the Heath-Jarrow-Morton framework. Our approach can be rigo...
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作者：Berkes, I; Horváth, L
作者单位：Hungarian Academy of Sciences; HUN-REN; HUN-REN Alfred Renyi Institute of Mathematics; Utah System of Higher Education; University of Utah
