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作者：Harrison, JM
作者单位：Stanford University
摘要：This paper is concerned with dynamic scheduling in a queueing system that has two independent Poisson input streams, two servers, deterministic service times and Linear holding costs. One server can process both classes of incoming jobs, but the other can process only one class, and the service time for the shared job class is different depending on which server is involved. A bound on system performance is developed in terms of a single pooled resource, or super-server, whose capabilities com...
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作者：Breidt, FJ; Davis, RA
作者单位：Iowa State University; Colorado State University System; Colorado State University Fort Collins
摘要：Extreme value theory for a class of stochastic volatility models, in which the logarithm of the conditional variance follows a Gaussian linear process, is developed. A result for the asymptotic tail behavior of the transformed stochastic volatility process is established and used to prove that the suitably normalized extremes converge in distribution to the double exponential (Gumbel) distribution. Explicit normalizing constants are obtained, and point process convergence is discussed.
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作者：Yakir, B; Pollak, M
作者单位：Hebrew University of Jerusalem
摘要：The probability that a stochastic process with negative drift exceed a value a often has a renewal-theoretic approximation as a --> infinity. Except for a process of iid random variables, this approximation involves a constant which is not amenable to analytic calculation. Naive simulation of this constant has the drawback of necessitating a choice of finite a, thereby hurting assessment of the precision of a Monte Carlo simulation estimate, as the effect of the discrepancy between a and infin...
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作者：Bai, ZD; Chao, CC; Hwang, HK; Liang, WQ
作者单位：National University of Singapore; Academia Sinica - Taiwan; National Sun Yat Sen University
摘要：We derive a general asymptotic formula for the variance of the number of maxima in a set of independent and identically distributed random vectors in R-d, where the components of each vector are independently and continuously distributed. Applications of the results to algorithmic analysis are also indicated.
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作者：Burdzy, K; Khoshnevisan, D
作者单位：University of Washington; University of Washington Seattle; Utah System of Higher Education; University of Utah
摘要：Let D be the Wiener sausage of width epsilon around two-sided Brownian motion. The components of two-dimensional reflected Brownian motion in D converge to one-dimensional Brownian motion and iterated Brownian motion, respectively, as epsilon goes to 0.
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作者：Fontes, LRG; Isopi, M; Kohayakawa, Y; Picco, P
作者单位：Universidade de Sao Paulo; Sapienza University Rome; Aix-Marseille Universite; Centre National de la Recherche Scientifique (CNRS)
摘要：We derive upper and lower bounds for the spectral gap of the random energy model under Metropolis dynamics which are sharp in exponential order. They are based on the Variational characterization of the gap. For the lower bound, a Poincare inequality derived by Diaconis and Stroock is used. The scaled asymptotic expression is a linear function of the temperature. The corresponding function for a global version of the dynamics exhibits phase transition instead. We also study the dependence of l...
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作者：Holroyd, AE
作者单位：University of Cambridge
摘要：We consider a percolation configuration on a general lattice in which edges are included independently with probability p. We study the rigidity properties of the resulting configuration, in the sense of generic rigidity in d dimensions. We give a mathematically rigorous treatment of the problem, starting with a definition of an infinite rigid component. We prove that, for a broad class of lattices, there exists an infinite rigid component for some p strictly below unity. For the particular ca...
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作者：Lezaud, P
作者单位：Universite de Toulouse; Universite Toulouse III - Paul Sabatier
摘要：This paper develops bounds on the distribution function of the empirical mean for irreducible finite-state Markov chains. One approach, explored by Gillman, reduces this problem to bounding the largest eigenvalue of a perturbation of the transition matrix for the Markov chain. By using estimates on eigenvalues given in Kato's book Perturbation Theory for Linear Operators, we simplify the proof of Gillman and extend it to nonreversible finite-state Markov chains and continuous time. We also set...
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作者：Gaudron, G
作者单位：Aix-Marseille Universite; Inria
摘要：In this paper we study the convergence of stochastic processes related to a random partial differential equation (PDE with random coefficients) of heat equation propagation type in a Kolmogorov's random velocity field. Then we are able to improve the results of Avellanda and Majda in the case of shear-flow advection-diffusion because we prove a convergence in law of the solution of the RPDE instead of just convergence of the moments.
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作者：Ahn, H; Dayal, M; Grannan, E; Swindle, G
作者单位：University of California System; University of California Santa Barbara
摘要：Transaction costs preclude the construction of hedging strategies for general contingent claims. Leland introduced the concept of diffusion Limits of hedging strategies in a small transaction cost limit. This paper establishes such diffusion limits for very general hedging strategies and also establishes leading order asymptotic expressions for the replication error. In addition to subsuming previously considered temporal strategies, the results in this paper yield new results, namely expressi...
