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最新文章

• Volatility misspecification, option pricing and superreplication via coupling AI翻译
  作者：Hobson, DG
  作者单位：University of Bath
  摘要：Consider the performance of an options writer who misspecifies the dynamics of the price process of the underlying asset by overestimating asset price volatility. When does he overprice the option? If he follows the hedging strategy suggested by his model, when does the terminal value of his strategy dominate the option payout? We show that both these events happen if the option payoff is a convex function of the price of the underlying at maturity. The proofs involve the simple, powerful and ...
• Directional decay of the Green's function for a random nonnegative potential on Zd AI翻译
  作者：Zerner, MPW
  作者单位：Swiss Federal Institutes of Technology Domain; ETH Zurich
  摘要：We derive a shape theorem type result for the almost sure exponential decay of the Green's function of -Delta + V, where the potentials V(x), x is an element of Z(d), are i.i.d. nonnegative random variables. This result implies a large deviation principle governing the position of a d-dimensional random walk moving in the same potential.
• On large deviations in load sharing networks AI翻译
  作者：Alanyali, M; Hajek, B
  作者单位：AT&T; Alcatel-Lucent; Lucent Technologies; University of Illinois System; University of Illinois Urbana-Champaign; University of Illinois System; University of Illinois Urbana-Champaign
  摘要：Three policies, namely optimal repacking, least load routing, and Bernoulli splitting, are considered for dynamic resource allocation in load sharing networks with standard Erlang type statistics. Large deviations principles are established for the three policies in a simple network of three consumer types and two resource locations and are used to identify the network overflow exponents. The overflow exponents for networks with arbitrary topologies are identified for optimal repacking and Ber...
• On the quasi-stationary distribution for some randomly perturbed transformations of an interval AI翻译
  作者：Klebaner, FC; Lazar, J; Zeitouni, O
  作者单位：University of Melbourne; University of Melbourne; Technion Israel Institute of Technology
  摘要：We consider a Markov chain X-n(epsilon) obtained by adding small noise to a discrete time dynamical system and study the chain's quasi-stationary distribution (qsd). The dynamics are given by iterating a function f: I --> I for some interval I when f has finitely many fixed points, some stable and some unstable. We show that under some conditions the quasi-stationary distribution of the chain concentrates around the stable fixed points when epsilon --> 0. As a corollary, we obtain the result f...
• The linear geodesic property is not generally preserved by a FIFO queue AI翻译
  作者：Ganesh, AJ; O'Connell, N
  作者单位：University of London; Birkbeck University London; Hewlett-Packard
  摘要：If a FIFO queue is fed by several input streams that; jointly satisfy a sample path large deviation principle (LDP) with linear geodesics, then the cumulative departures (up to a large time) also satisfy the LDP with a rate function which depends in a relatively simple way on the rate function corresponding to the inputs: this was demonstrated in a recent paper by the second author. It; suggests the possibility of an iterative scheme which would allow one to determine the large deviation behav...
• Normality of tree-growing search strategies AI翻译
  作者：Lyons, R; Zumbrun, K
  作者单位：Indiana University System; Indiana University Bloomington
  摘要：We study the class of tree-growing search strategies introduced by Lent and Mahmoud, searches for which data are stored in a deterministic sequence of tree structures (e.g., linear search in forward order). Specifically, we study the conditions under which the number of comparisons needed to sort a sequence of randomly ordered numbers is asymptotically normal. Our main result is a sufficient condition for normality in terms of the growth rate of tree height alone; this condition is easily comp...
• Lack of monotonicity in ferromagnetic ising model phase diagrams AI翻译
  作者：Schonmann, RH; Tanaka, NI
  作者单位：University of California System; University of California Los Angeles; Universidade de Sao Paulo
  摘要：We study patterns of the phase diagram of ferromagnetic Ising models on graphs under an external magnetic field. We provide an example of a tree with only two types of vertices on which for a range of values of the external field there is a unique Gibbs distribution at low enough and at high enough temperatures, while at intermediate temperatures there is phase coexistence (in other words, a reentrance transition takes place).
• Wear convergence rates for stochastic approximation with application to multiple targets and simulated annealing AI翻译
  作者：Pelletier, M
  作者单位：Universite Gustave-Eiffel
  摘要：We study convergence rates of R-d-valued algorithms, especially in the case of multiple targets and simulated annealing. We precise, for example, the convergence rate of simulated annealing algorithms, whose weak convergence to a distribution concentrated on the potential's minima had been established by Gelfand and Mitter or by Hwang and Sheu.
• Large deviations of combinatorial distributions II. Local limit theorems AI翻译
  作者：Hwang, HK
  作者单位：Academia Sinica - Taiwan
  摘要：We derive a general local limit theorem for probabilities of large deviations for a sequence of random variables by means of the saddlepoint method on Laplace-type integrals. This result is applicable to parameters in a number of combinatorial structures and the distribution of additive arithmetical functions.
• Asymptotic behavior of self-organizing maps with nonuniform stimuli distribution AI翻译
  作者：Sadeghi, AA
  作者单位：University of Kaiserslautern
  摘要：Here the almost sure convergence of one-dimensional Kohonen's algorithm in its general form, namely, the SK-neighbor setting with a nonuniform stimuli distribution, is proved. We show that the asymptotic behavior of the algorithm is governed by a cooperative system of differential equations which is irreducible. The system of differential equations possesses an asymptotically stable equilibrium, a compact subset of whose domain of attraction will be visited by the state variable X-n infinitely...