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作者：Spivak, G; Cvitanic, J
作者单位：Columbia University
摘要：In the framework of continuous-time, Ito processes models for financial markets, we study the problem of maximizing the probability of an agent's wealth at time T being no less than the value C of a contingent claim with expiration time T. The solution to the problem has been known in the context of complete markets and recently also for incomplete markets; we rederive the complete markets solution using a powerful and simple duality method, developed in utility maximization literature. We the...
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作者：Del Moral, P; Guionnet, A
作者单位：Universite de Toulouse; Universite Toulouse III - Paul Sabatier; Centre National de la Recherche Scientifique (CNRS); Universite Paris Saclay; Centre National de la Recherche Scientifique (CNRS)
摘要：Several random particle systems approaches were recently suggested to solve nonlinear filtering problems numerically. The present analysis is concerned with genetic-type interacting particle systems. Our aim is to study the fluctuations on path space of such particle-approximating models.
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作者：Cao, J; Worsley, K
作者单位：Alcatel-Lucent; Lucent Technologies; AT&T; McGill University
摘要：We introduce two new types of random field. The cross correlation field R(s, t) is the usual sample correlation coefficient for a set of pairs of Gaussian random fields, one sampled at point s is an element of R-M, the other sampled at point t is an element of R-M. The homologous correlation field is defined as R(t) = R(t, t), that is, the diagonal of the cross correlation field restricted to the same location s = t. Although the correlation coefficient can be transformed pointwise to a t-stat...
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作者：Kollman, C; Baggerly, K; Cox, D; Picard, R
作者单位：National Marrow Donor Program; Rice University; United States Department of Energy (DOE); Los Alamos National Laboratory
摘要：In modeling particle transport through a medium, the path of a particle behaves as a transient Markov chain. We are interested in characteristics of the particle's movement conditional on its starting state, which take the form of a score accumulated with each transition. Importance sampling is an essential variance reduction technique in this setting, and we provide an adaptive (iteratively updated) importance sampling algorithm that converges exponentially to the solution. Examples illustrat...
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作者：Martin, JB; Suhov, YM
作者单位：Universite PSL; Ecole Normale Superieure (ENS); University of Cambridge; Russian Academy of Sciences
摘要：We extend the results of Vvedenskaya, Dobrushin and Karpelevich to Jackson networks. Each node j, 1 less than or equal to j less than or equal to J of the network consists of N identical channels, each with an infinite buffer and a single server with service rate mu(j) The network is fed by a family of independent Poisson flows of rates N lambda(1),...,N lambda(J) arriving at the corresponding nodes. After being served at node j, a task jumps to node k with probability p(jk) and leaves the net...
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作者：Fulman, J; Wilmer, EL
作者单位：Harvard University
摘要：The Poincare and Cheeger bounds are two useful bounds for the second largest eigenvalue of a reversible Markov chain. Diaconis and Stroock and Jerrum and Sinclair develop versions of these bounds which involve choosing paths. This paper studies these path-related bounds and shows that the Poincare bound is superior to the Cheeger bound for simple random walk on a tree and random walk on a finite group with any symmetric generating set. This partially resolves a question posed by Diaconis and S...
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作者：Pittel, B
作者单位：University System of Ohio; Ohio State University
摘要：For various global characteristics of large ge size combinatorial structures, such as graphs, trees, one can usually estimate the mean and the variance, and also obtain a recurrence for the generating function, with the structure size n serving as the recursive parameter As a heuristic principle based on our experience, we claim that such a characteristic is asymptotically normal if the mean and the variance are nearly linear in n. The technical reason is that in such a case the moment generat...
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作者：Frieze, A; Kannan, R
作者单位：Carnegie Mellon University; Carnegie Mellon University
摘要：We consider the problem of sampling according to a distribution with log-concave density F over a convex body K subset of or equal to R-n. The sampling is done using a biased random walk and we give improved polynomial upper bounds on the time to get a sample point with distribution close to F.
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作者：Brooks, EA
作者单位：National Institutes of Health (NIH) - USA; NIH National Institute of Environmental Health Sciences (NIEHS)
摘要：Linear reaction-hyperbolic systems of partial differential equations in one space dimension arise in the study of the physiological process by which materials are transported in nerve cell axons. Probabilistic methods are developed to derive a closed form approximate solution for an initial-boundary value problem of such a system. The approximate solution obtained is a translating solution of a heat equation. An estimate is proved giving the deviation of this approximate traveling wave solutio...
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作者：Biskup, M; den Hollander, F
作者单位：Radboud University Nijmegen; Charles University Prague
摘要：We consider a quenched-disordered heteropolymer, consisting of hydrophobic and hydrophylic monomers, in the vicinity of an oil-water interface. The heteropolymer is modeled by a directed simple random walk (i, S-i)(i is an element of N) on N x Z with an interaction given by the Hamiltonians H-n(omega)(S) = lambda Sigma(i=1)(n)(omega(i) + h)Sign(S-i) (n is an element of N). Here, lambda and h are parameters and (omega(i))(i is an element of N) are i.i.d. ii-valued random variables. The sign(S-i...
