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作者：Miltersen, Kristian R.
作者单位：University of Southern Denmark
摘要：In the setting of the Heath-Jarrow-Morton model, this paper presents sufficient conditions to assure that the stochastic forward rates are strictly positive while maintaining the martingale property of the discounted bond price processes in the case where the stochastic forward rates are described as stochastic differential equations with explicitly state dependent stochastic volatility. Moreover, the stochastic development of the term structure of interest rates is generalized to be described...
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作者：Klebaner, Fima C.; Zeitouni, Ofer
作者单位：University of Melbourne; Technion Israel Institute of Technology
摘要：The influence of noise on a class of discrete time systems arising from models of density-dependent branching processes is investigated. By considering iterates of the basic map, the time to escape from a stable orbit is investigated as a (nonstandard) problem of exit from a domain.
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作者：Serinko, Regis J.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：A new approach to the least squares procedure for correlation dimension estimation is suggested. Consistency of the new estimator is established for a class of dynamical systems that includes the Cantor map and the logistic map with parameter value 4. Unlike the proofs of consistency for other estimation procedures, no assumptions are made about the Grassberger-Procaccia spatial correlation integral beyond the existence of the correlation dimension.
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作者：Redmond, C.; Yukch, J. E.
作者单位：Lehigh University; Lehigh University
摘要：A Beardwood-Halton-Hammersley type of limit theorem is established for a broad class of Euclidean functionals which arise in stochastic optimization problems on the d-dimensional unit cube. The result, which applies to all functionals having a certain quasiadditivity property, involves minimal structural assumptions and holds in the sense of complete convergence. It extends Steele's classic theorem and includes such functionals as the length of the shortest path through a random sample, the mi...
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作者：Meyn, Sean P.; Tweedie, R. L.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Colorado State University System; Colorado State University Fort Collins
摘要：Recent results for geometrically ergodic Markov chains show that there exist constants R < infinity, rho < 1 such that sup(vertical bar f vertical bar <= V) vertical bar integral P-n(x, dy)f(y) - integral pi(dy)f(y)vertical bar <= RV(x)rho(n), where pi is the invariant probability measure and V is any solution of the drift inequalities integral P(x, dy)V(y) <= lambda V(x) + b1(c)(x), which are known to guarantee geometric convergence for lambda < 1, b < infinity and a suitable small set C. In ...
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作者：Coffman, E. G., Jr.; Mallows, C. L.; Poonen, Bjorn
作者单位：Nokia Corporation; Nokia Bell Labs; AT&T
摘要：Let (r(1), s(1)), ... ,(r(n), s(n),) be a sequence of requests to place arcs on the unit circle, where 0 <= r(i), s(i), <= 1 are endpoints relative to some origin on the circle. The first request is always satisfied by reserving, or parking, the shorter of the two arcs between r(1) and s(1) (either arc can be parked in case of ties). Thereafter, one of the two arcs between r(i) and s(i), is parked if and only if it does not overlap any arc already parked by the first i - 1 requests. Assuming t...
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作者：Roos, Malgorzata
摘要：In the present paper, compound Poisson approximation by Stein's method is considered. A general theorem analogous to the local approach for Poisson approximation is proved. It is then applied to a reliability problem involving the number of isolated vertices in the rectangular lattice on the torus.
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作者：Alexander, Kenneth S.
作者单位：University of Southern California
摘要：Given two i.i.d. sequences of n letters from a finite alphabet, one can consider the length L-n of the longest sequence which is a subsequence of both the given sequences. It is known that ELn grows like gamma n for some gamma is an element of [0, 1]. Here it is shown that gamma n >= ELn >= gamma n - C(n log n)(1/2) for an explicit numerical constant C which does not depend on the distribution of the letters. In simulations with n = 100,000, ELn/n can be determined from k such trials with 95% ...
