-
作者：El Karoui, Nicole; Karatzas, Ioannis
作者单位：Sorbonne Universite; Columbia University
摘要：We present an approach to the general, non-Markovian dynamic allocation (or multiarmed bandit) problem, formulated in continuous time as a problem of stochastic control for multiparameter processes in the manner of Mandelbaum. This approach is based on a direct, martingale study of auxiliary questions in optimal stopping. Using a methodology similar to that of Whittle and relying on simple time-change arguments, we construct Gittins-index-type strategies, verify their optimality, provide expli...
-
作者：Dupuis, Paul; Oliensis, John
作者单位：Brown University; University of Massachusetts System; University of Massachusetts Amherst
摘要：The main problem considered in this paper is the construction of numerical methods and proofs of their convergence for the problem of shape from shading. In the first part of the paper, it is assumed that the height function that describes the surface to be reconstructed is known at all local minima (or maxima). These points are a subset of the singular points, which are the brightest points in the image. A pair of optimal control problems are defined that provide representations for the heigh...
-
作者：Finnoff, William
作者单位：Siemens AG; Siemens Germany
摘要：A model for the activities of a finite number of agents in an economy is presented as the solution to a system of stochastic differential equations driven by general semimartingales and displaying an extended form of strong local interaction. We demonstrate a law of large numbers for the systems of processes as the number of agents goes to infinity under a weak convergence hypothesis on the triangular array of starting values and driving semimartingales which induces the systems of equations. ...
-
作者：Perfekt, Roland
作者单位：Lund University
摘要：In this paper the extremal behaviour of real-valued, stationary Markov chains is studied under fairly general assumptions. Conditions are obtained for convergence in distribution of multilevel exceedance point processes associated with suitable families of high levels. Although applicable to general stationary sequences, these conditions are tailored for Markov chains and are seen to hold for a large class of chains. The extra assumptions used are that the marginal distributions belong to the ...
-
作者：Anantharam, V.
作者单位：Cornell University
-
作者：Pestien, Victor; Ramakrishnan, S.
作者单位：University of Miami
摘要：Assume that k jobs circulate clockwise through a cyclic network of n single-server queues, where at each integer time instant the job at the head of each queue moves with probability p to the next queue, independent of the other jobs. The equilibrium distribution for the associated Markov chain is determined, and an exact expression for the expected number of busy servers is obtained. If n and k are large, a simple approximation for the proportion of busy servers is derived. In a second model,...
-
作者：Rogers, L. C. G.
作者单位：University of London; Queen Mary University London
摘要：This paper applies the earlier work of Barlow, Rogers and Williams on the Wiener Hopf factorization of finite Markov chains to a number of questions in the theory of fluid models of queues. Specifically, the invariant distribution for an infinite-buffer model and for a finite-buffer model are derived. The laws of other functionals of the fluid models can be easily derived and compactly expressed in terms of the fundamental Wiener Hopf factorization.
-
作者：Dembo, Amir; Karlin, Samuel; Zeitouni, Ofer
作者单位：Stanford University; Stanford University; Technion Israel Institute of Technology
摘要：Three results on hitting a rare set by the increments of an R-d-valued random process with stationary independent increments are presented: the first time that it occurs, the duration of such a segment and the typical trajectory during the segment.
-
作者：Hsing, Tailen
作者单位：Texas A&M University System; Texas A&M University College Station
摘要：The asymptotic distribution of the area V-n outside the convex hull of n i.i.d. points uniformly distributed on the two-dimensional unit disk is studied. The asymptotic variance of V-n is found to be of the order n(-5/3), and the asymptotic distribution of V-n shown to be normal. The results are obtained by carefully analyzing the strength of dependence between sample points at different locations close to the boundary of the unit disk.
-
作者：Keener, Robert W.
作者单位：University of Michigan System; University of Michigan
摘要：Let T = inf{n >= 1: S-n > 0} and H = S-T be ladder variables for a random walk {S-n}(n >= 1) with nonnegative drift. Integral formulas for generating functions and moments of T, H and related quantities are developed. These formulas are suitable for numerical quadrature and should be easier to implement than formulas based on Spitzer's identity when the distribution of S-n is complicated. The approach used makes key use of the Hilbert transform and the main regularity assumption is that some p...
