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作者：Berkes, I; Horváth, J
作者单位：HUN-REN; HUN-REN Alfred Renyi Institute of Mathematics; Hungarian Academy of Sciences; Utah System of Higher Education; University of Utah
摘要：For a LARCH (linear ARCH) sequence (Y-n, sigma(n),) exhibiting long range dependence, we determine the limiting distribution of sums Sigma f (y(n)), Sigma f (sigma(n)) for smooth functions f satisfying E(y(0)f' (y(0))) = 0, E (sigma(0)f' (sigma(0))) not equal 0. We also give an approximation formula for the above sums, providing the first term of the asymptotic expansions of Sigma f (y(n)), Sigma f (sigma(n)).
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作者：Chan, HP; Lai, TL
作者单位：National University of Singapore; Stanford University
摘要：Saddlepoint approximations are developed for Markov random walks S-n and are used to evaluate the probability that (j - i) g ((S-j - S-i) / (j - i)) exceeds a threshold value for certain sets of (i, j). The special case g(x) = x reduces to the usual scan statistic in change-point detection problems, and many generalized likelihood ratio detection schemes are also of this form with suitably chosen g. We make use of this boundary crossing probability to derive both the asymptotic Gumbel-type dis...
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作者：Cox, JT; Klenke, A
作者单位：Syracuse University; University of Cologne
摘要：Super Brownian motion is known to occur as the limit of properly rescaled interacting particle systems such as branching random walk, the contact process and the voter model. In this paper we show that certain linearly interacting diffusions converge to super Brownian motion if suitably rescaled in time and space. The results comprise nearest neighbor interaction as well as long range interaction.
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作者：Duffy, K; Lewis, JT; Sullivan, WG
作者单位：Technological University Dublin
摘要：Logarithmic asymptotics are proved for the tail of the supremum of a stochastic process, under the assumption that the process satisfies a restricted large deviation principle on regularly varying scales. The formula for the rate of decay of the tail of the supremum, in terms of the underlying rate function, agrees with that stated by Duffield and O'Connell [Math. Proc. Cambridge Philos. Soc. (1995) 118 363-374]. The rate function of the process is not assumed to be convex. A number of queuein...
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作者：Lamberton, D; Villeneuve, S
作者单位：Universite Gustave-Eiffel; Universite Paris-Est-Creteil-Val-de-Marne (UPEC); Universite PSL; Ecole des Hautes Etudes en Sciences Sociales (EHESS); Universite de Toulouse; Universite Toulouse 1 Capitole; Centre National de la Recherche Scientifique (CNRS)
摘要：We study the behavior of the critical price of an American put option near maturity when the underlying stock pays dividends at a continuous rate. The results also apply to foreign currencies American options.
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作者：Jakubenas, P; Levental, S; Ryznar, M
作者单位：Sorbonne Universite; Universite Paris Cite; Michigan State University; Wroclaw University of Science & Technology
摘要：We study the minimal investment that is needed in order to super-replicate (i.e., hedge with certainty) continuous-time options under transaction costs. We deal with both exotic and path-independent European and American options. In all our examples we prove that the optimal strategy is the cheapest possible buy and hold. Our method is to study the problem in a discrete-time shadow market that is free of transaction costs where the options are perpetual. We also produce useful and precise esti...
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作者：Jelenkovic, P; Momcilovic, P
作者单位：Columbia University
摘要：Consider a fluid queue with a finite buffer B and capacity c fed by a superposition of N independent On-Off processes. An On-Off process consists of a sequence of alternating independent periods of activity and silence. Successive periods of activity, as well as silence, are identically distributed. The process is active with probability p and during its activity period produces fluid at constant rate r. For this queueing system, under the assumption that the excess activity periods are interm...
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作者：Ganesh, A; O'Connell, N; Prabhakar, B
作者单位：Stanford University
摘要：We consider a discrete-time queue with general service distribution and characterize a class of arrival processes that possess a large deviation rate function that remains unchanged in passing through the queue. This invariant rate function corresponds to a kind of exponential tilting of the service distribution. We establish a large deviations analogue of quasireversibility for this class of arrival processes. Finally, we prove the existence of stationary point processes that have a probabili...
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作者：Booth, L; Bruck, J; Franceschetti, M; Meester, R
作者单位：Utrecht University; California Institute of Technology; Vrije Universiteit Amsterdam
摘要：Continuum percolation models in which each point of a two-dimensional Poisson point process is the centre of a disc of given (or random) radius r, have been extensively studied. In this paper, we consider the generalization in which a deterministic algorithm (given the points of the point process) places the discs on the plane, in such a way that each disc covers at least one point of the point process and that each point is covered by at least one disc. This gives a model for wireless communi...
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作者：Cohn, H; Wang, Q
作者单位：University of Melbourne
摘要：For a multitype branching process in varying environment convergent in probability, a certain sequence of linear combinations of the type sizes is shown to possess some convergence properties. This sequence turns out to be instrumental in deriving a condition for continuity of the limiting distribution function. An application to an L-1 convergent process whose offspring mean matrices are weakly ergodic is also given.
