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作者：Eichler, Michael
作者单位：Ruprecht Karls University Heidelberg
摘要：We consider empirical spectral processes indexed by classes of functions for the case of stationary point processes. Conditions for the measurability and equicontinuity of these processes and a weak convergence result are established. The results can be applied to the spectral analysis of point processes. In particular, we discuss the application to parametric and nonparametric spectral density estimation.
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作者：Dempster, M. A. H.; Ye, J. J.
作者单位：University of Essex; Dalhousie University; University of Victoria
摘要：This paper concerns the optimal impulse control of piecewise deterministic Markov processes (PDPs). The PDP optimal (full) control problem with dynamic control plus impulse control is transformed to an equivalent dynamic control problem. The existence of an optimal full control and a generalized Bellman-Hamilton-Jacobi necessary and sufficient optimality condition for the PDP full control problem in terms of the value function for the new dynamic control problem are derived. It is shown that t...
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作者：Roberts, G. O.; Shortland, C. F.
作者单位：University of Cambridge
摘要：We consider the problem of estimating first exit distributions for one-dimensional diffusion processes. We provide analytic bounds and an approximation which is shown to be accurate in a range of numerical examples involving Brownian motion.
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作者：Isham, Valerie
作者单位：University of London; University College London
摘要：The interactions between macroparasites and their hosts, in terms of parasite-induced acquired immunity and additional mortality of the host, are of considerable interest and importance. In this paper, a simple nonlinear stochastic model for the parasite load within a single host over the lifetime of the host is investigated. By concentrating on a model incorporating only parasite-induced excess host mortality, exact algebraic results are possible, which provide insight into the effects of thi...
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作者：Dobrow, Robert P.; Fill, James Allen
作者单位：Johns Hopkins University; National Institute of Standards & Technology (NIST) - USA
摘要：The move-to-root (MTR) heuristic is a self-organizing rule that attempts to keep a binary search tree in near-optimal form. It is a tree analogue of the move-to-front (MTF) scheme for self-organizing lists. Both heuristics can be modeled as Markov chains. We show that the MTR chain can be derived by lumping the MTF chain and give exact formulas for the transition probabilities and stationary distribution for MTR. We also derive the eigenvalues and their multiplicities for MTR.
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作者：Kogan, Y.; Liptser, R.; Shenfild, M.
作者单位：Technion Israel Institute of Technology; Tel Aviv University
摘要：We consider a state-dependent generalization of the exponential Benes model of single-source buffer system in which the source process consists of alternating transmission and idle periods. Martingale methods are applied for analyzing limit nonstationary behavior of the buffer content process, when the buffer is loaded and depleted, with rates proportional to a large parameter N. Depending on traffic conditions, defined by parameters of the model, different types of approximations are establis...
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作者：Levental, Shlomo; Skorohod, Antolii V.
作者单位：Michigan State University
摘要：We characterize absence of arbitrage with tame portfolios in the case of invertible volatility matrix. As a corollary we get that, under a certain condition, absence of arbitrage with tame portfolios is characterized by the existence of the so-called equivalent martingale measure. Without that condition, the existence of equivalent martingale measure is equivalent to absence of approximate arbitrage. The proofs are probabilistic and are based on a construction of two specific arbitrages. Some ...
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作者：Kusuoka, Shigeo
作者单位：University of Tokyo
摘要：Option replication in a discrete-time framework with transaction costs and its limit is discussed. First the notion of an efficient strategy is introduced, and then it is shown that an efficient strategy is the best strategy if it exists. It is also shown that the limit of the cost for option replication is given by a certain formula when the unit of time Delta t tends to zero and the transaction costs tends to zero on the order of root Delta t.
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作者：Fort, Jean-Claude; Pages, Gilles
作者单位：Universite de Lorraine; Sorbonne Universite
摘要：Some existence and stability results for the equilibrium points of the one-dimensional Kohonen self-organizing neural network with two neighbors are extended to most nonincreasing neighborhood functions. All the functions mentioned in the neural literature are included. The assumption on the stimuli distribution is weakened, too. In the multidimensional setting, we derive from a general formula various stability and instability results.
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作者：Csoergo, Sandor; Simons, Gordon
作者单位：University of Michigan System; University of Michigan; University of North Carolina; University of North Carolina Chapel Hill
摘要：Recursive methods are described for computing the frequency and distribution functions of trimmed sums of independent and identically distributed nonnegative integer-valued random variables. Surprisingly, for fixed arguments, these can be evaluated with just a finite number of arithmetic operations (and whatever else it takes to evaluate the common frequency function of the original summands). These methods give rise to very accurate computational algorithms that permit a delicate numerical in...
