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作者：Fox, Bennett L.; Heine, George W.
作者单位：University of Colorado System; University of Colorado Denver
摘要：Consider a time-inhomogeneous Markov chain which converges in probability to a subset S-0 of its state space. Override the standard move mechanism up to a random transition time, almost surely finite, but not necessarily a stopping time. Under weak conditions, the modified process converges in probability to the same set S-0. Two examples of independent interest illustrate this result.
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作者：Reinert, Gesine
作者单位：University of Southern California
摘要：Generalizing Sellke's construction, a general stochastic epidemic with non-Markovian transition behavior is considered. At time t = 0, the population of total size K consists of aK individuals that are infected by a certain disease (and infectious); the remaining bK individuals are susceptible with respect to that disease. An initially susceptible individual i, when infected (call A(i)(K) its time of infection), stays infectious for a period of length r(i), until it is removed. An initially in...
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作者：Soner, H. M.; Shreve, S. E.; Cvitanic, J.
作者单位：Carnegie Mellon University
摘要：Conventional wisdom holds that since continuous-time, Black-Scholes hedging is infinitely expensive in a model with proportional transaction costs, there is no continuous-time strategy which hedges a European call option perfectly. Of course, if one is attempting to dominate the European call rather than replicate it, then one can use the trivial strategy of buying one share of the underlying stock and holding to maturity. In this paper we prove that this is, in fact, the least expensive metho...
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作者：Zhang, Yu
作者单位：University of Colorado System; University of Colorado at Colorado Springs
摘要：We consider a sequence matching problem involving the optimal alignment score for contiguous sequences, rewarding matches by one unit and penalizing for deletions and mismatches by parameters delta and mu, respectively. Let M-n be the optimal score over all possible choices of two contiguous regions. Arratia and Waterman conjectured that, when the score constant a(mu, delta) < 0, P(M-n/log n -> 2b) = 1 for some constant b. Here we prove the conjecture affirmatively.
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作者：Duffie, Darrell; Ma, Jin; Yong, Jiongmin
作者单位：Stanford University; Purdue University System; Purdue University; Fudan University
摘要：This paper confirms a version of a conjecture by Fischer Black regarding consol rate models for the term structure of interest rates. A consol rate model is one in which the stochastic behavior of the short rate is influenced by the consol rate. Since the consol rate is itself determined, via the usual discounted present value formula, by the short rate, such models have an inherent fixed point aspect. Under an equivalent martingale measure, purely technical regularity conditions are given for...
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作者：Henderson, W.; Pearce, C. E. M.; Taylor, P. G.; van Dijk, N. M.
作者单位：University of Adelaide; Vrije Universiteit Amsterdam
摘要：In this paper we treat a discrete-time generalized semi-Markov process in which simultaneous deaths of more than one lifetime and simultaneous arrivals are permitted and service scheduling is probabilistic. Necessary and sufficient conditions for insensitivity are derived and a simple algorithmic procedure provided whereby the equilibrium probabilities can be furnished when insensitivity holds. Some particular cases of special interest are examined in detail.
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作者：Povel, Tobias
作者单位：Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：We consider a one-dimensional Brownian motion with a constant drift, moving among Poissonian obstacles. In the case where the drift is below some critical value we characterize the limiting distribution of the process under the conditional probability measure that the particle has survived up to time t. Unlike the situation where the drift equals zero, we show in particular that in the presence of a constant drift, the process in natural scale feels the boundary.
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作者：Rosenblatt, Murray
作者单位：University of California System; University of California San Diego
摘要：The object of this paper is to show that under certain auxiliary assumptions a stationary autoregressive sequence has a best predictor in mean square that is linear if and only if the sequence is minimum phase or is Gaussian when all moments are finite.
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作者：Duffie, Darrell; Glynn, Peter
作者单位：Stanford University; Stanford University
摘要：This paper provides an asymptotically efficient algorithm for the allocation of computing resources to the problem of Monte Carlo integration of continuous-time security prices. The tradeoff between increasing the number of time intervals per unit of time and increasing the number of simulations, given a limited budget of computer time, is resolved for first-order discretization schemes (such as Euler) as well as second- and higher-order schemes (such as those of Milshtein or Talay).
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作者：Yamada, Keigo
作者单位：Kanagawa University
摘要：We consider open queueing networks in which arrival and service rates are dependent on the state (i.e., queue length) of the network. They are modeled as multidimensional birth and death processes. If a heavy traffic condition is satisfied on the behavior of arrival and service rates when the queue length becomes very large, it is shown that a properly normalized sequence of queue length converges in law to a reflecting diffusion process.
