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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：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：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：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：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：Bérard, J; Bienvenüe, A
作者单位：Universite Claude Bernard Lyon 1; Communaute Universite Grenoble Alpes; Universite Grenoble Alpes (UGA)
摘要：We study the asymptotic behavior of a mutation-selection genetic algorithm on the integers with finite population of size p greater than or equal to 1. The mutation is defined by the steps of a simple random walk and the fitness function is linear. We prove that the normalized population satisfies an invariance principle, that a large-deviations principle holds and that the relative positions converge in law. After n steps, the population is asymptotically around rootn times the position at ti...
