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作者：Fill, JA
作者单位：Johns Hopkins University
摘要：For a large class of examples arising in statistical physics known as attractive spin systems (e.g., the Ising model), one seeks to sample from a probability distribution pi on an enormously large state space, but elementary sampling is ruled out by the infeasibility of calculating an appropriate normalizing constant. The same difficulty arises in computer science problems where one seeks to sample randomly from a large finite distributive lattice whose precise size cannot be ascertained in an...
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作者：Lamberton, D
作者单位：Universite Gustave-Eiffel
摘要：We establish some error estimates for the binomial approximation of American put prices in the Black-Scholes model. Namely, we prove that if P is the American put price and P-n its n-step binomial approximation, there exist positive constants c and C such that -c/n(2/3) less than or equal to P-n-P less than or equal to C/n(3/4). With an additional assumption on the interest rate and the volatility, a better upper bound is derived.
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作者：Papangelou, F
作者单位：University of Manchester
摘要：The present paper continues the work of two previous papers on the variational behavior, over a large number of generations, of a Wright-Fisher process modelling an even larger reproducing population. It was shown that a Wright-Fisher process subject to random drift and one-way mutation which undergoes a large deviation follows with near certainty a path which can be a trigonometric, exponential, hyperbolic or parabolic function. Here it is shown that a process subject to random drift and game...
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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 ...
