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作者：de Lima, A. C. Pedroso; Sen, Pranab K.
作者单位：Universidade de Sao Paulo; University of North Carolina; University of North Carolina Chapel Hill
摘要：A matrix-valued counting process that allows for modeling of multi-variate failure-time data is presented. the inclusion of covariates in a Cox-type regression model is considered, and asymptotic properties of the estimates of regression parameters appearing in the model are studied.
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作者：Levental, Shlomo; Skorohod, Anatolii V.
作者单位：Michigan State University
摘要：We study the continuous-time problem of hedging a generalized call option of the European and of the American type, in the presence of transaction costs. We show that if the price process of the relevant stock fluctuates with positive probability, then the only hedge that is possible for the American option is the trivial one. If the price of the stock, in addition to fluctuating with positive probability, is also stable with positive probability, then the same is true for the European option....
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作者：Jagers, Peter
作者单位：Chalmers University of Technology; University of Gothenburg
摘要：Consider supercritical general branching processes, where, however, individual reproduction may be influenced by the history of the population, in particular by the total population size. Assume that reproductions approach those of a classical, possibly multitype, supercritical process either from above or from below as the population grows. Conditions are established for the population-history dependent populations to display balanced exponential growth with the same Malthusian parameter as t...
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作者：Puhalskii, Anatolii A.; Whitt, Ward
作者单位：Nokia Corporation; Nokia Bell Labs; AT&T
摘要：We apply an extended contraction principle and superexponential convergence in probability to show that a functional large deviation principle for a sequence of stochastic processes implies a corresponding functional large deviation principle for an associated sequence of first-passage-time or inverse processes. Large deviation principles are established for both inverse processes and centered inverse processes, based on corresponding results for the original process. We apply these results to...
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作者：Berger, Erich
作者单位：University of Gottingen
摘要：In this paper we consider a class of stochastic approximation procedures that arises in linear filtering and regression theory. Our main result asserts that the stochastic approximation process satisfies an almost sure invariance principle (with a certain rate of convergence) if the partial sums of the errors do.
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作者：Lange, Kenneth; Zhao, Hongyu; Speed, Terence P.
作者单位：University of Michigan System; University of Michigan; Yale University; University of California System; University of California Berkeley
摘要：The Poisson-skip model introduced in this paper generalizes the chi-quare model of crossover interference. Both models are constructed from the random points of a Poisson process occurring along a meiotic bundle of four chromatids. The points of the Poisson process are divided into X points and o points, with X points corresponding to crossovers. In the chi-square model, a fixed number of o points intervene between every adjacent pair of X points; in the Poisson-skip model, a random number of ...
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作者：Boehm, W.; Mohanty, S. G.
作者单位：McMaster University
摘要：In this paper we present some interesting results which follow from the celebrated determinant formulas for noncoincidence probabilities of Markov processes discovered by Karlin and McGregor. The first theorem is a determinant formula for the probability that a Markov jump process will avoid a certain finite set of points. From this theorem a simple solution of the moving boundary problem for certain types of Markov processes can be obtained. The other theorems deal with noncoincidence probabi...
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作者：Chassaing, Philippe
作者单位：Universite de Lorraine
摘要：We are given a set of n elements, some of them red, the others blue, but their colors are hidden. We are to determine the composition of this set, or to determine an element of the majority color, by making pairwise comparisons of elements from which we obtain the information the colors of these two elements are the same,'' or they are different.'' Let tau(n), respectively, mu(n), be the optimal average number of comparisons needed to solve these two problems. We give an explicit expression of...
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作者：Flatto, L.
作者单位：AT&T; Nokia Corporation; Nokia Bell Labs
摘要：The M / M / 1 queue is considered in the case in which customers are served in random order. A formula is obtained for the distribution of the waiting time w in the stationary state. The formula is used to show that P(w > l) similar to alpha l (-5/6) exp( -beta l - gamma l(1/3)) as l -> infinity, with the constants alpha, beta, and gamma expressed as functions of the traffic intensity p. The distribution of w for the random order discipline is compared to that of the first in, first out discip...
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作者：Adler, Robert; Samorodnitsky, Gennady
作者单位：Technion Israel Institute of Technology; University of North Carolina; University of North Carolina Chapel Hill; Cornell University
摘要：We describe the mean rate at which a general absolutely continuous stationary S alpha S process crosses a high level. Only nondegeneracy assumptions are imposed in the case 1 < alpha < 2. The same results hold for 0 < alpha <= 1 under certain conditions, ensuring existence of the required conditional moments and the applicability of the classical integral formula for the expected number of level crossings.
