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作者：Weerasinghe, APN
作者单位：Iowa State University
摘要：We study an investment decision problem for an investor who has available a risk-free asset (such as a bank account) and a chosen risky asset. It is assumed that the interest rate for the risk-free asset is zero. The amount invested in the risky asset is given by an It (o) over cap process with infinitesimal parameters mu(.) and sigma(.), which come from a control set. This control set depends on the investor's wealth in the risky asset. The wealth can be transferred between the two assets and...
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作者：Asmussen, S
作者单位：Lund University
摘要：Consider a reflected random walk W(n+1) = (W(n) +X(n))(+), where X(o), X(1),... are i.i.d. with negative mean and subexponential with common distribution F. It is shown that the probability that the maximum within a regenerative cycle with mean mu exceeds x is approximately mu (F) over bar(x) as x --> infinity, and thereby that max (W(o),..., W(n)) has the same asymptotics as max(X(o),...,X(n)) as n --> infinity. In particular, the extremal index is shown to be theta = 0, and the point process...
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作者：Cot, C; Catoni, O
作者单位：Centre National de la Recherche Scientifique (CNRS); Centre National de la Recherche Scientifique (CNRS); Universite Paris Saclay
摘要：We investigate how to tune a generalized simulated annealing algorithm with piecewise constant cooling schedule to get an optical convergence exponent. The optimal convergence exponent of generalized simulated annealing algorithms has been computed by Catoni and Trouve. It is reached only with triangular sequences of temperatures, meaning that different finite sequences are used, depending on the time resource available for computations (expressed by an overall number of iterations). We show f...
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作者：Tierney, L
作者单位：University of Minnesota System; University of Minnesota Twin Cities
摘要：The Metropolis-Hastings algorithm is a method of constructing a reversible Markov transition kernel with a specified invariant distribution. This note describes necessary and sufficient conditions on the candidate generation kernel and the acceptance probability function for the resulting transition kernel and invariant distribution to satisfy the detailed balance conditions. A simple general formulation is used that covers a range of special cases treated separately in the literature. In addi...
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作者：Alanyali, M; Hajek, B
作者单位：Alcatel-Lucent; Lucent Technologies; AT&T; University of Illinois System; University of Illinois Urbana-Champaign; University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper establishes a process-level large deviations principle for Markov processes in the Euclidean space with a discontinuity in the transition mechanism along a hyperplane. The transition mechanism of the process is assumed to be continuous on one closed half-space and also continuous on the complementary open half-space. Similar results were recently obtained for discrete time processes by Dupuis and Ellis and by Nagot. Our proof relies on the work of Blinovskii and Dobrushin, which in ...
