2期

最新文章

• The two-stage contact process AI翻译
  作者：Krone, SM
  作者单位：University of Idaho
  摘要：We introduce a multitype interacting particle system, which is a natural generalization of the contact process. Here, individuals in the population have two life stages, young and adult. Only adults can give birth and each new offspring is young. Transition from young to adult occurs at constant rate, and individuals die at rates that depend on their life stage. Important to the analysis of this process is the construction of a multitype dual process.
• Consistency of the Takens estimator for the correlation dimension AI翻译
  作者：Borovkova, S; Burton, R; Dehling, H
  作者单位：Oregon State University; University of Groningen
  摘要：Motivated by the problem of estimating the fractal dimension of a strange attractor, we prove weak consistency of U-statistics for stationary ergodic and mixing sequences when the kernel function is unbounded, extending by this earlier results of Aaronson, Burton, Dehling, Gilat, Hill and Weiss. We apply the obtained results to show consistency of the Takens estimator for the con-elation dimension.
• Central limit theorem for nonlinear filtering and interacting particle systems AI翻译
  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.
• Adaptive importance sampling on discrete Markov chains AI翻译
  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...
• Saddlepoint approximations to option prices AI翻译
  作者：Rogers, LCG; Zane, O
  作者单位：University of Bath
  摘要：The use of saddlepoint approximations in statistics is a well-established technique for computing the distribution of a random variable whose moment generating function is known. In this paper, we apply the methodology to computing the prices of various European-style options, whose returns processes are not the Brownian motion with drift assumed in the Black-Scholes paradigm. Through a number of examples, we show that the methodology is generally accurate and fast.
• Smooth density field of catalytic super-Brownian motion AI翻译
  作者：Fleischmann, K; Klenke, A
  作者单位：Leibniz Association; Weierstrass Institute for Applied Analysis & Stochastics; University of Erlangen Nuremberg
  摘要：Given an (ordinary) super-Brownian motion (SBM) rho on R-d of dimension d = 2, 3, we consider a (catalytic) SBM X-rho on R-d with local branching rates rho(s)(dx). We show that X-t(rho) is absolutely continuous with a density function xi(t)(rho), say. Moreover, there exists a version of the map (t, z) --> xi(t)(rho)(z) which is l(infinity) and solves the heat equation off the catalyst rho; more precisely, off the (zero set of) closed support of the time-space measure ds rho(s)(dx). Using self-...
• A stochastic spatial process to model the persistence of sickle-cell disease AI翻译
  作者：Cox, JT; Schinazi, RB
  作者单位：Syracuse University; University of Colorado System; University of Colorado at Colorado Springs
  摘要：We consider a gene with two alleles. Allele A is normal, allele S is abnormal. Individuals with genotype SS have a severe disease called sickle-cell disease. Individuals with genotype AS are not sick, and it is thought that they are more resistant to malarial infection than individuals with genotype AA. This could explain why the allele S has persisted in regions where malaria is endemic. We use a stochastic spatial process to test this hypothesis. For our model, we show that if the genotype A...
• Completeness of securities market models -: An operator point of view AI翻译
  作者：Bättig, R
  作者单位：Cornell University
  摘要：We propose a notion of market completeness which is invariant under change to an equivalent probability measure. Completeness means that an operator T acting on stopping time simple trading strategies has dense range in the weak* topology on bounded random variables. In our setup, the claims which can be approximated by attainable ones has codimension equal to the dimension of the kernel of the adjoint operator T* acting on signed measures, which in most cases is equal to the dimension of the ...
• Robert Battig 1968-1997 AI翻译
  作者：Durrett, R
• Asymptotic approximation of the move-to-front search cost distribution and least-recently used caching fault probabilities AI翻译
  作者：Jelenkovic, PR
  作者单位：Columbia University
  摘要：Consider a finite list of items n = 1, 2,..., N, that are requested according to an i.i.d. process. Each time an item is requested it is moved to the front of the list. The associated search cost C-N for accessing an item is equal to its position before being moved. If the request distribution converges to a proper distribution as N --> infinity, then the stationary search cost C-N converges in distribution to a limiting search cost C. We show that, when the (limiting) request distribution has...