2期

最新文章

• How system performance is affected by the interplay of averages in a fluid queue with long range dependence induced by heavy tails AI翻译
  作者：Heath, D; Resnick, S; Samorodnitsky, G
  作者单位：Cornell University
  摘要：We consider a fluid queue with sessions arriving according to a Poisson process. A long-tailed distribution of session lengths induces long range dependence in the system and causes its performance to deteriorate. The deterioration is due to occurrence of load regimes far from average ones. Nonetheless, the extent of this performance deterioration is shown to depend crucially on the average values of the system parameters.
• The asymptotics of waiting times between stationary processes, allowing distortion AI翻译
  作者：Dembo, A; Kontoyiannis, I
  作者单位：Stanford University; Purdue University System; Purdue University
  摘要：Given two independent realizations of the stationary processes X = {X-n;n greater than or equal to 1} and Y = {Y-n; n greater than or equal to 1}, our main quantity of interest is the waiting time W-n(D) until a D-close version of the initial string (X-1, X-2,...,X-n) first appears as a contiguous substring in (Y-1, Y-2, Y-3,...), where closeness is measured with respect to some average distortion criterion. We study the asymptotics of W-n(D) for large n under various mixing conditions on X an...
• Pricing contingent claims on stocks driven by Levy processes AI翻译
  作者：Chan, T
  作者单位：Heriot Watt University
  摘要：We consider the problem of pricing contingent claims on a stock whose price process is modelled by a geometric Levy process, in exact analogy with the ubiquitous geometric Brownian motion model. Because the noise process has jumps of random sizes, such a market is incomplete and there is not a unique equivalent martingale measure. We study several approaches to pricing options which all make use of an equivalent martingale measure that is in different respects closest to the underlying canonic...
• Poisson approximation in connection with clustering of random points AI翻译
  作者：Månsson, M
  作者单位：Chalmers University of Technology
  摘要：Let n particles be independently and uniformly distributed in a rectangle A subset of R-2. Each subset consisting of k less than or equal to n particles may possibly aggregate in such a way that it is covered by some translate of a given convex set C subset of k The number of h-subsets which actually are covered by translates of C is denoted by W. The positions of such subsets constitute a point process on k Each point of this process can be marked with the smallest necessary size of a set, of...