-
作者：Diaconis, P; Holmes, S; Neal, RM
作者单位：Stanford University; INRAE; University of Toronto; University of Toronto
摘要：We analyze the convergence to stationarity of a simple nonreversible Markov chain that serves as a model for several nonreversible Markov chain sampling methods that are used in practice. Our theoretical and numerical results show that nonreversibility can indeed lead to improvements over the diffusive behavior of simple Markov chain sampling schemes. The analysis uses both probabilistic techniques and an explicit diagonalization.
-
作者：Baccelli, F; Hong, D
作者单位：Universite PSL; Ecole Normale Superieure (ENS)
摘要：We give an explicit analytic series expansion of the (max, plus)Lyapunov exponent gamma (p) of a sequence of independent and identically distributed random matrices, generated via a Bernoulli scheme depending on a small parameter p. A key assumption is that one of the matrices has a unique normalized eigenvector. This allows us to obtain a representation of this exponent as the mean value of a certain random variable. We then use a discrete analogue of the so-called light-traffic perturbation ...
-
作者：Chen, H; Shen, XY
作者单位：University of British Columbia
摘要：This paper derives the strong approximation for a muiticlass queueing network, where jobs after service completion can only move to a downstream service station. Job classes are partitioned into groups. Within a group, jobs are served in the order of arrival; that is, a first-in first-out (FIFO) discipline is in force, and among groups, jobs are served under a preassigned preemptive priority discipline. We obtain the strong approximation for the network through an inductive application of an i...
-
作者：Bouchard, B; Touzi, N
作者单位：Universite PSL; Universite Paris-Dauphine
摘要：We consider a multivariate financial market with transaction costs as in Kabanov. We study the problem of finding the minimal initial capital needed to hedge, without risk, European-type contingent claims. We prove that the value of this stochastic control problem is given by the cost of the cheapest buy-and-hold strategy. This is an extension of the already known result in the one-dimensional case. An important feature of our analysis is that we do not make use of the dual formulation of the ...
-
作者：Giraitis, L; Robinson, PM; Surgailis, D
作者单位：University of London; London School Economics & Political Science; Vilnius University
摘要：For a particular conditionally heteroscedastic nonlinear (ARCH) process for which the conditional variance of the observable sequence r(t) is the square of an inhomogeneous linear combination of r(s), s < t, we give conditions under which, for integers l 2, r(t)(l) has long memory autocorrelation and normalized partial sums of r(t)(l) converge to fractional Brownian motion.
-
作者：Ignatiouk-Robert, I
作者单位：CY Cergy Paris Universite
摘要：The problem of large deviations for a Jackson network is analyzed in detail. A new representation of the rate function is given and a simple procedure is proposed to get its closed form expression. The methods used rely on twisted distributions, localized processes, fluid limits and II careful analysis of some functions.
-
作者：Karlin, S; Chen, CF
作者单位：Stanford University
摘要：This study is motivated by problems of molecular sequence comparisons for biological traits conserved or lost over evolution time. A marker of interest is distributed in the genome of the ancestor and inherited among I offspring species which descend from this common ancestor. Each marker will be retained or lost during the evolution of the descendent species. The objective of the analysis here is to ascertain probabilities of clustering or overdispersion of the marker array among the sequence...
-
作者：Resnick, S; Rootzén, H
作者单位：Cornell University; Chalmers University of Technology
摘要：Several studies of file sizes either being downloaded or stored in the World Wide Web have commented that tails can be so heavy that not only are variances infinite, but so are means. Motivated by this fact, we study the infinite node Poisson model under the assumption that transmission times are heavy tailed with infinite mean. The model is unstable but we are able to provide growth rates. Self-similar but nonstationary Gaussian process approximations are provided for the number of active sou...
-
作者：Maglaras, C
作者单位：Columbia University
摘要：This paper describes a general approach for dynamic control of stochastic networks based an fluid model analysis, where in broad terms, the stochastic network is approximated by its fluid analog, an associated fluid control problem is solved and, finally, a scheduling rule for the original system is defined by interpreting the fluid control policy. The main contribution of this paper is to propose a general mechanism for translating the solution of the fluid optimal control problem into an imp...
-
作者：Mikosch, T; Smorodnitsky, G
作者单位：University of Groningen; Cornell University
摘要：Many important probabilistic models in queuing theory, insurance and finance deal with partial sums of a negative mean stationary process (a negative drift random walk), and the law of the supremum of such a process is used to calculate, depending on the context, the ruin probability, the steady state distribution of the number of customers in the system or the value at risk. When the stationary process is heavy-tailed, the corresponding ruin probabilities are high and the stationary distribut...
