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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：In this paper we consider large theta approximations for the stationary distribution of the neutral infinite alleles model as described by the the Poisson-Dirichlet distribution with parameter theta. We prove a variety of Gaussian limit theorems for functions of the population frequencies as the mutation rate theta goes to infinity. In particular, we show that if a sample of size n is drawn from a population described by the Poisson-Dirichlet distribution, then the conditional probability of a...
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作者：Chow, PL
作者单位：Wayne State University
摘要：This paper is concerned with a class of nonlinear stochastic wave equations in R-d with d less than or equal to 3, for which the nonlinear terms are polynomial of degree m. As an example of the nonexistence of a global solution in general, it is shown that there exists an explosive solution of some cubically nonlinear wave equation with a noise term. Then the existence and uniqueness theorems for local and global solutions in Sobolev space H-1 are proven with the degree of polynomial m less th...
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作者：Pham, H
作者单位：Sorbonne Universite; Universite Paris Cite; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI)
摘要：We consider a controlled process governed by X-x,X-theta = x + integraltheta dS + H-theta, where S is a seznimartingale, Theta the set of control processes theta is a convex subset of L (S) and {H-theta : theta is an element of Theta} is a concave family of adapted processes with finite variation. We study the problem of minimizing the shortfall risk defined as the expectation of the shortfall (B - X-T(x, theta)) + weighted by some loss function, where B is a given nonnegative measurable rando...
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作者：Zachary, S; Ziedins, I
作者单位：Heriot Watt University; University of Auckland
摘要：This paper gives a refinement of the results of Hunt and Kurtz on the dynamical behavior of large loss networks. We introduce a Liapounov function technique which, under the limiting regime of Kelly, enables the unique identification of limiting dynamics in many applications. This technique considerably simplifies much previous work in this area. We further apply it to the study of the dynamical behavior of large single-resource loss systems under virtual partitioning, or dynamic trunk reserva...
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作者：Nagai, H; Peng, S
作者单位：University of Osaka; Shandong University
摘要：We consider an optimal investment problem for a factor model treated by Bielecki and Pliska (Appl. Math. Optim. 39 337-360) as a risk-sensitive stochastic control problem, where the mean returns of individual securities are explicitly affected by economic factors defined as Gaussian processes. We relax the measurability condition assumed as Bielecki and Pliska for the investment strategies to select. Our investment strategies are supposed to be chosen without using information of factor proces...
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作者：Alsmeyer, G; Rösler, U
作者单位：University of Munster; University of Kiel
摘要：We consider the supercritical bisexual Galton-Watson process (BGWP) with promiscuous mating, that is, a branching process which behaves like an ordinary supercritical Galton-Watson process (GWP) as long as at least one male is born in each generation. For a certain example, it was pointed out by Daley, Hull and Taylor [J. Appl. Probab. 23 (1986) 585-600] that the extinction probability of such a BGWP apparently behaves like a constant times the respective probability of its asexual counterpart...
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作者：Braverman, M; Mikosch, T; Samorodnitsky, G
作者单位：Ben-Gurion University of the Negev; University of Copenhagen; Cornell University; Cornell University
摘要：We study the tail behavior of the distribution of certain subadditive functionals acting on the sample paths of Levy processes. The functionals we consider have, roughly speaking, the following property: only the points of the process that lie above a certain curve contribute to the value of the functional. Our assumptions will make sure that the process ends up eventually below the curve. Our results apply to ruin probabilities, distributions of sojourn times over curves, last hitting times a...
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作者：François, O
作者单位：Communaute Universite Grenoble Alpes; Institut National Polytechnique de Grenoble
摘要：This article studies a stochastic model of an evolutionary algorithm that evolves a population of potential solutions to a minimization problem. The minimization process is based on two operators. First, each solution is regarded as an individual that attempts a random search on a graph, involving a probabilistic operator called exploration, The second operator is called selection. This deterministic operator creates interaction between individuals. The convergence of the evolutionary process ...
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作者：Toomey, F
作者单位：Dublin Institute for Advanced Studies
摘要：A topical operator on R-d is one which is isotone and homogeneous. Let {A(n) : n greater than or equal to 1} be a sequence of i.i.d. random topical operators such that the projective radius of A(n)...A(1) is almost surely bounded for large n. If {x (n) : n greater than or equal to 1} is a sequence of vectors given by x (n) = A (n)...A(1)x(0), for some fixed initial condition x(0), then the sequence {x(n)/n:n greater than or equal to 1} satisfies a weak large deviation principle. As corollaries...
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作者：Jourdain, B; Martini, C
作者单位：Institut Polytechnique de Paris; Ecole Nationale des Ponts et Chaussees; Inria
摘要：In mathematical finance, the price of the so-called American Put option is given by the value function of the optimal-stopping problem with the option payoff psi: x --> (K - x)(+) as a reward function. Even in the Black-Scholes model, no closed-formula is known and numerous numerical approximation methods have been specifically designed for this problem. In this paper, as an application of the theoretical result of B. Jourdain and C. Martini [Ann. Inst. Henri Paincare Anal. Nonlinear 18 (2001)...
