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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：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; 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.
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作者：Abate, Joseph; Choudhury, Gagan L.; Lucantoni, David M.; Whitt, Ward
作者单位：Nokia Corporation; Nokia Bell Labs; AT&T
摘要：Choudhury and Lucantoni recently developed an algorithm for calculating moments of a probability distribution by numerically inverting its moment generating function. They also showed that high-order moments can be used to calculate asymptotic parameters of the complementary cumulative distribution function when, an asymptotic form is assumed, such as F-c(x) similar to alpha x(beta) e (-eta x) as x -> infinity. Moment-based algorithms for computing asymptotic parameters are especially useful w...
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作者：Kang, Hyun-Chung; Krone, Stephen M.; Neuhauser, Claudia
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Wisconsin System; University of Wisconsin Madison
摘要：The stepping-stone model is widely used in population genetics to describe the evolution of a population with mating and geographical structure. It is typically formulated on a countable set, where each element of the set corresponds to a colony. Each colony consists of a population of a fixed number of haploid individuals. Individuals undergo random mating within each colony and migrate to neighboring colonies. In the model considered here, we are interested in the changes that may occur at a...
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作者：Delbaen, Freddy; Schachermayer, Walter
作者单位：Vrije Universiteit Brussel; University of Vienna
摘要：We investigate the existence of an absolutely continuous martingale measure. For continuous processes we show that the absence of arbitrage for general admissible integrands implies the existence of an absolutely continuous (not necessarily equivalent) local martingale measure. We also rephrase Radon-Nikodym theorems for predictable processes.
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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：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 ...
