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作者：Bovier, A; Mason, DM
作者单位：Leibniz Association; Weierstrass Institute for Applied Analysis & Stochastics; University of Delaware
摘要：We study a Hopfield model whose number of patterns M grows to infinity with the system size N, in such a way that M(N)(2) log M(N)IN tends to zero. In this model the unbiased Gibbs state in volume N can essentially be decomposed into M(N) pairs of disjoint measures. We investigate the distributions of the corresponding weights, and show, in particular, that these weights concentrate for any given N very closely to one of the pairs, with probability tending to 1. Our analysis is based upon a ne...
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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：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：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：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：Duckworth, K; Zervos, M
作者单位：University of London; King's College London
摘要：We address the problem of determining in an optimal way the sequence of times at which a firm can enter or exit an economic activity. In particular, we consider an investment model which involves production scheduling as well as a sequence of entry and exit decisions. The pricing of an investment conforming with this model gives rise to a stochastic impulse control problem that we explicitly solve. Our solution takes qualitatively different forms, depending on the problem's data.
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作者：Bramson, M; Lebowitz, JL
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Rutgers University System; Rutgers University New Brunswick; Rutgers University System; Rutgers University New Brunswick
摘要：Consider the system of particles on Z(d) where particles are of two types, A and B, and execute simple random walks in continuous time. Particles do not interact with their own type, but when a type A particle meets a type B particle, both disappear. Initially, particles are assumed to be distributed according to homogeneous Poisson random fields, with equal intensities for the two types. This system serves as a model for the chemical reaction A + B --> inert. In Bramson and Lebowitz [7], the ...
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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...
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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.
