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作者：Corcoran, JN; Tweedie, RL
作者单位：University of Colorado System; University of Colorado Boulder; University of Minnesota System; University of Minnesota Twin Cities
摘要：We develop an algorithm for simulating perfect random samples from the invariant measure of a Harris recurrent Markov chain. The method uses backward coupling of embedded regeneration times and works most effectively for stochastically monotone chains, where paths may be sandwiched between upper and lower processes. We give an approach to finding analytic bounds on the backward coupling times in the stochastically monotone case. An application to storage models is given.
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作者：Stolyar, AL; Ramanan, K
作者单位：AT&T; Alcatel-Lucent; Lucent Technologies
摘要：We consider a single server system with N input flows. We assume that each flow has stationary increments and satisfies a sample path large deviation principle, and that the system is stable. We introduce the largest weighted delay first (LWDF) queueing discipline associated with any given weight vector alpha = (alpha (1),...,alpha (N)). We show that under the LWDF discipline the sequence of scaled stationary distributions of the delay (w) over cap (i) of each flow satisfies a large deviation ...
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作者：Wischik, DJ
作者单位：University of Cambridge
摘要：This paper presents a large deviations principle for the average of real-valued processes indexed by the positive integers, one which is particularly suited to queueing systems with many traffic flows. Examples are given of how it may be applied to standard queues with finite and infinite buffers, to priority queues and to finding most likely paths to overflow.
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作者：Berkes, I; Horváth, L
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：We obtain a strong approximation for the empirical process of n observed elements of a GARCH sequence. The weak convergence of the empirical process and the law of the iterated logarithm are immediate consequences.
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作者：Millet, A; Morien, PL
作者单位：Sorbonne Universite; Sorbonne Universite; Universite Paris Cite; Universite Paris Nanterre
摘要：In this paper, we investigate the existence and uniqueness of the solution for a class of stochastic wave equations in two space-dimensions containing a non-linearity of polynomial type. The method used in the proofs combines functional analysis arguments with probabilistic tools, and further estimates for the Green function associated with the classical wave equation.
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作者：Foley, RD; McDonald, DR
作者单位：University System of Georgia; Georgia Institute of Technology; University of Ottawa
摘要：We consider the stability of a network serving a patchwork of overlapping regions where customers from a local region are assigned to a collection of local servers. These customers join the queue of the local server with the shortest queue of waiting customers. We then describe how the backlog in the network overloads. We do this in the simple case of two servers each of which receives a dedicated stream of customers in addition to customers from a stream of smart customers who join the shorte...
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作者：Jankunas, A
摘要：Given a particular market variable, which could be finite dimensional (e.g., a price vector of a collection of stocks) or infinite dimensional (e.g., a price trajectory of some security over some period of time), we find the unique optimal European claim contingent on that variable in the sense that, for a given price and risk tolerance level, this claim has the highest expected return possible. The optimal contingent claims seem to be attractive investment instruments and are proposed for tra...
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作者：Schachermayer, W
作者单位：Technische Universitat Wien
摘要：This paper accompanies a previous one by D. Kramkov and the present author. While in [ 17] we considered utility functions U : R+ --> R satisfying the Inada conditions U'(0) = infinity and U'(infinity) = 0, in the present paper we consider utility functions U : R --> R which are finitely valued, for all x is an element of R, and satisfy U'(- infinity) = infinity and U'(infinity) = 0. A typical example of this situation is the exponential utility U(x) = -e(-x). In the setting of [17] the follow...
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作者：Gosselin, F
作者单位：Universite PSL; Ecole Pratique des Hautes Etudes (EPHE); Institut Agro; Montpellier SupAgro; CIRAD; Centre National de la Recherche Scientifique (CNRS); Institut de Recherche pour le Developpement (IRD); Universite Paul-Valery; Universite de Montpellier
摘要：We find a Lyapunov-ty pe sufficient condition for discrete-time Markov chains on a countable state space including an absorbing set to almost surely reach this absorbing set and to asymptotically stabilize conditional on nonabsorption. This result is applied to Bienayme-Galton-Watson-like branching processes in which the offspring distribution depends on the current population size. This yields a generalization of the Yaglom limit. The techniques used mainly rely on the spectral theory of line...
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作者：Fagin, R; Karlin, AR; Kleinberg, J; Raghavan, P; Rajagopalan, S; Rubinfeld, R; Sudan, M; Tomkins, A
作者单位：International Business Machines (IBM); IBM USA; University of Washington; University of Washington Seattle; Cornell University; Massachusetts Institute of Technology (MIT)
摘要：We introduce backoff processes, an idealized stochastic model of browsing on the World Wide Web, which incorporates both hyperlink traversals and use of the ''back button.'' With some probability the next state is generated by a distribution over out-edges from the current state, as in a traditional Markov chain. With the remaining probability, however, the next state is generated by clicking on the back button and returning to the state from which the current state was entered by a ''forward ...
