2001

最新文章

• Superprocesses over a stochastic flow AI翻译
  作者：Skoulakis, G; Adler, RJ
  作者单位：University of North Carolina; University of North Carolina Chapel Hill; Technion Israel Institute of Technology
  摘要：We study a specific particle system in which particles undergo random branching and spatial motion. Such systems are best described, mathematically, via measure valued stochastic processes. As is now quite standard, we study the so-called superprocess limit of such a system as both the number of particles in the system and the branching rate tend to infinity. What differentiates our system from the classical superprocess case, in which the particles move independently of each other, is that th...
• Self-attractive random polymers AI翻译
  作者：van der Hofstad, R; Klenke, A
  作者单位：Delft University of Technology; University of Erlangen Nuremberg
  摘要：We consider a repulsion-attraction model for a random polymer of finite length in Z(d). Its law is that of a finite simple random walk path in Zd receiving a penalty e-(2beta) for every self-intersection, and a reward e(gamma/d) for every pair of neighboring monomers. The nonnegative parameters 0 and y measure the strength of repellence and attraction, respectively. We show that for gamma > beta the attraction dominates the repulsion; that is, with high probability the polymer is contained in ...
• Joint characteristic function and simultaneous simulation of iterated Ito integrals for multiple independent Brownian motions AI翻译
  作者：Wiktorsson, M
  作者单位：Lund University
  摘要：We consider all two-times iterated Ito integrals obtained by pairing nr independent standard Brownian motions, First we calculate the conditional joint characteristic function of these integrals, given the Brownian increments over the integration interval, and show that it has a form entirely similar to what is obtained in the univariate case. Then we propose an algorithm for the simultaneous simulation of the m(2) integrals conditioned on the Brownian increments that achieves a mean square er...
• Optimal portfolio in partially observed stochastic volatility models AI翻译
  作者：Pham, H; Quenez, MC
  作者单位：Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Universite Paris Cite; Sorbonne Universite; Universite Gustave-Eiffel
  摘要：We address the maximization problem of expected utility from terminal wealth. The special feature of this paper is that we consider a financial market where price process of risky assets follows a stochastic volatility model and we require that investors observe just the vector of stock prices. Using stochastic filtering techniques and adapting martingale duality methods in this partially observed incomplete model, we characterize the value function and the optimal portfolio policies. We study...
• Stochastic particle approximations for Smoluchoski's coagulation equation AI翻译
  作者：Eibeck, A; Wagner, W
  作者单位：Leibniz Association; Weierstrass Institute for Applied Analysis & Stochastics
  摘要：This paper studies stochastic particle approximations for Smoluchowski's coagulation equation. A new stochastic algorithm with reduced variance is proposed. Its convergence behavior is investigated, when the number of simulation particles tends to infinity. Under appropriate assumptions on the coagulation kernel, the limit is the unique solution of the coagulation equation. Then detailed numerical experiments are performed, testing the applicability and efficiency of the algorithm. In particul...
• On uniqueness of solutions for the stochastic differential equations of nonlinear filtering AI翻译
  作者：Lucic, VM; Heunis, AJ
  作者单位：University of Waterloo
  摘要：We study a nonlinear filtering problem in which the signal to be estimated is conditioned by the observations. The main results establish pathwise uniqueness for the unnormalized filter equation and uniqueness in law for the normalized and unnormalized filter equations.
• A LIFO queue in heavy traffic AI翻译
  作者：Limic, V
  作者单位：Cornell University
  摘要：This paper describes the heavy-traffic behavior of an M/G/1 last-in-first-out preemptive resume queue. An appropriate framework for the analysis is provided by measure-valued processes. In particular, the paper exploits the setting of recent works by Le Gall and Le Jan. Their finite-measure-valued exploration process corresponds to our RES-measure (residual services measure) process, that captures all the relevant information about the evolution of the queue, while their height process corresp...
• Dynamic scheduling of a system with two parallel servers in heavy traffic with resource pooling: Asymptotic optimality of a threshold policy AI翻译
  作者：Bell, SL; Williams, RJ
  作者单位：University of California System; University of California San Diego
  摘要：This paper concerns a dynamic scheduling problem for a queueing system that has two streams of arrivals to infinite capacity buffers and two (nonidentical) servers working in parallel. One server can only process jobs from one buffer, whereas the other server can process jobs from either buffer. The service time distribution may depend on the buffer being served and the server providing the service. The system manager dynamically schedules waiting jobs onto available servers. We consider a par...
• The profile of binary search trees AI翻译
  作者：Chauvin, B; Drmota, M; Jabbour-Hattab, J
  作者单位：Universite Paris Saclay; Centre National de la Recherche Scientifique (CNRS); Technische Universitat Wien
  摘要：We characterize the limiting behavior of the number or nodes in level k of binary search trees T-n in the central region 1.2 log n less than or equal to k less than or equal to 2.8 log n. Especially we show that the width V, (the maximal number of internal nodes at the same level) satisfies (V) over bar (n) similar to (n/ root4pi log n) as n --> infinity a.s.