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作者：El Karoui, N; Peng, S; Quenez, MC
作者单位：Institut Polytechnique de Paris; Ecole Polytechnique; Shandong University; Universite Gustave-Eiffel
摘要：This paper examines the continuous-time portfolio-consumption problem of an agent with a recursive utility in the presence of nonlinear constraints on the wealth. Using backward stochastic differential equations, we state a dynamic maximum principle which generalizes the characterization of optimal policies obtained by Duffie and Skiadas [J. Math Econ. 23, 107-131 (1994)] in the case of a linear wealth. From this property, we derive a characterization of optimal wealth and utility processes as...
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作者：Bramson, M; Dai, JG
作者单位：University of Minnesota System; University of Minnesota Twin Cities; University System of Georgia; Georgia Institute of Technology; University System of Georgia; Georgia Institute of Technology
摘要：Using a slight modification of the framework of Bramson [7] and Williams [54], we prove heavy traffic limit theorems for six families of multiclass queueing networks. The first three families are single-station systems operating under first-in-first-out (FIFO), generalized-head-of-the-line proportional processor sharing (GHLPPS) and static buffer priority (SBP) service disciplines. The next two families are reentrant lines that operate under first-buffer-first-serve (FBFS) and last-buffer-firs...
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作者：Mazza, C; Piau, D
作者单位：Universite Claude Bernard Lyon 1
摘要：We use McFadden's integral equations for random RC filters to study the average distribution of Dubins-Freedman processes. These distributions are also stationary probability measures of Markov chains on [0, 11, defined by the iteration of steps to the left x --> u x, and of steps to the right x - v + (1 - v) x, where u and v are random from [0, 1]. We establish new algorithms to compute the stationary measure of these chains. Turning to specific examples, we show that, if the distributions of...
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作者：Nuzman, CJ; Poor, HV
作者单位：Alcatel-Lucent; Lucent Technologies; AT&T; Princeton University
摘要：It has recently been observed that wide-sense self-similar processes have a rich linear structure analogous to that of wide-sense stationary processes. In this paper, a reproducing kernel Hilbert space (RKHS) approach is used to characterize this structure. The RKHS associated with a self-similar process on a variety of simple index sets has a straightforward description, provided that the scale-spectrum of the process can be factored. This RKHS description makes use of the Mellin transform an...
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作者：Mossel, E
作者单位：Hebrew University of Jerusalem
摘要：We consider a process in which information is transmitted from a given root node on a noisy d-ary tree network T. We start with a uniform symbol taken from an alphabet A. Each edge of the tree is an independent copy of some channel (Markov chain) M, where M is irreducible and aperiodic on A. The goal is to reconstruct the symbol at the root from the symbols at the nth level of the tree. This model has been studied in information theory, genetics and statistical physics. The basic question is: ...
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作者：Gouet, R; López, FJ
作者单位：Universidad de Chile; Universidad de Chile; University of Zaragoza
摘要：We consider Z as an infinite lattice street where cars of integer length in greater than or equal to 1 can park. The parking process is described by a 0-1 interacting particle system such that a site Z E if is in state 1 whenever a car has its rear end at z and 0 otherwise. Cars attempt to park after exponential times with parameter lambda, leave after exponential times with parameter 1and are not allowed to touch nor overlap. We define and study a jamming occupation density for this parking p...
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作者：Baryshnikov, Y; Gnedin, A
作者单位：Universite Paris Saclay; University of Gottingen
摘要：We consider a sequential interval packing process similar to Renyi's ''car parking problem'' but with a generator of random intervals which allows for arbitrarily small lengths. Embedding the process in continuous time, we view it as a self-similar interval splitting process. We determine the asymptotical behavior of the quantities such as the number of intervals packed to some instant and obtain convergence results in the context of the more general splitting model.
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作者：Bertsimas, D; Gamarnik, D; Tsitsiklis, JN
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); International Business Machines (IBM); IBM USA; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：We study the distribution of steady-state queue lengths in multiclass queueing networks under a stable policy. We propose a general methodology based on Lyapunov functions for the performance analysis of infinite state Markov chains and apply it specifically to Markovian multiclass queueing networks. We establish a deeper connection between stability and performance of such networks by showing that if there exist linear or piece-wise linear Lapunov functions that show stability, then these Lya...
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作者：Chen, X
作者单位：University of Tennessee System; University of Tennessee Knoxville
摘要：The exact convergence rates of the particle distributions in supercritical branching random walks and supercritical branching Wiener processes are obtained and a conjecture of Revesz is confirmed.
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作者：Klebaner, FC; Liptser, R
作者单位：University of Melbourne; Tel Aviv University
摘要：A stochastic Lotka-Volterra model is formulated by using the semi-martingale approach. The large deviation principle is established, and is used to obtain a bound for the asymptoties of the time to extinction of prey population. The bound is given in terms of past-dependent ODEs closely related to the dynamics of the deterministic Lotka-Volterra model.
