3期

最新文章

• Optimal long term growth rate of expected utility of wealth AI翻译
  作者：Fleming, WH; Sheu, SJ
  作者单位：Brown University; Academia Sinica - Taiwan
  摘要：An optimal investment policy model for the long term growth of expected utility of wealth is considered. The utility function is HARA with exponent -infinity < gamma < 1. The problem can be reformulated as an infinite time horizon, risk sensitive control problem. Then the dynamic programming equations for different HARA exponents and different policy constraints are studied. We obtain some estimates for the solution of each equation. This can be used to derive an optimal policy with some inter...
• More on recurrence and waiting times AI翻译
  作者：Wyner, AJ
  作者单位：University of Pennsylvania
  摘要：Let X = {X-n : n = 1,2,...} be a discrete valued stationary ergodic process distributed according to probability P. Let Z(1)(n) = {Z(1), Z(2),..., Z(n)} be an independent realization of an n-block drawn Kith the same probability as X. We consider the waiting time W-n defined as the first time the n-block Z(1)(n) appears in X. There are many recent results concerning this waiting time that demonstrate asymptotic properties of this random variable. In this paper, we prove that for all n the rand...
• Fast Jackson networks AI翻译
  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...
• Probabilistic methods for a linear reaction-hyperbolic system with constant coefficients AI翻译
  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...
• A heteropolymer near a linear interface AI翻译
  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...
• Stochastic calculus for Brownian motion on a Brownian fracture AI翻译
  作者：Khoshnevisan, D; Lewis, TM
  作者单位：Utah System of Higher Education; University of Utah
  摘要：In this paper, we give a pathwise development of stochastic integrals with respect to iterated Brownian motion. We also provide a detailed analysis of the variations of iterated Brownian motion. These variations are linked to Brownian motion in random scenery and iterated Brownian motion itself.
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets AI翻译
  作者：Kramkov, D; Schachermayer, W
  作者单位：Russian Academy of Sciences; Steklov Mathematical Institute of the Russian Academy of Sciences; Technische Universitat Wien; University of Vienna
  摘要：The paper studies the problem of maximizing the expected utility of terminal wealth in the framework of a general incomplete semimartingale model of a financial market. We show that the necessary and sufficient condition on a utility function for the validity of several key assertions of the theory to hold true is the requirement that the asymptotic elasticity of the utility function is strictly less than 1.
• A remark on random perturbations of the nonlinear pendulum AI翻译
  作者：Freidlin, M; Weber, M
  作者单位：University System of Maryland; University of Maryland College Park; Technische Universitat Dresden
  摘要：We describe the long-time behavior of the nonlinear pendulum perturbed by a small noise. To derive this asymptotics, one has to consider diffusion processes on the graph corresponding to the Hamiltonian of the pendulum.
• Stochastic Euler equations on the torus AI翻译
  作者：Capinski, M; Cutland, NJ
  作者单位：University of Hull
  摘要：Existence of solutions for stochastic Euler equations is proved for the two-dimensional case. The laws of solutions of stochastic Navier-Stokes equations are shown to be relatively compact and all limit points las the viscosity converges to zero) are laws of solutions to stochastic Euler equations.
• The ages of mutations in gene trees AI翻译
  作者：Griffiths, RC; Tavaré, S
  作者单位：University of Oxford; University of Southern California
  摘要：Under the infinitely many sites mutation model, the mutational history of a sample of DNA sequences can be described by a unique gene tree. We show how to find the conditional distribution of the ages of the mutations and the time to the most recent common ancestor of the sample, given this gene tree. Explicit expressions for such distributions seem impossible to find for the sample sizes of interest in practice. We resort to a Monte Carlo method to approximate these distributions. We use this...