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作者：Czichowsky, Christoph; Schweizer, Martin
作者单位：University of Vienna; Swiss Federal Institutes of Technology Domain; ETH Zurich; Swiss Finance Institute (SFI)
摘要：The Markowitz problem consists of finding, in a financial market, a self-financing trading strategy whose final wealth has maximal mean and minimal variance. We study this in continuous time in a general semimartingale model and under cone constraints: trading strategies must take values in a (possibly random and time-dependent) closed cone. We first prove existence of a solution for convex constraints by showing that the space of constrained terminal gains, which is a space of stochastic inte...
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作者：Crisan, D.; Diehl, J.; Friz, P. K.; Oberhauser, H.
作者单位：Imperial College London; Technical University of Berlin; Leibniz Association; Weierstrass Institute for Applied Analysis & Stochastics
摘要：In the late seventies, Clark [In Communication Systems and Random Process Theory (Proc. 2nd NATO Advanced Study Inst., Darlington, 1977) (1978) 721-734, Sijthoff & Noordhoff] pointed out that it would be natural for pi(t), the solution of the stochastic filtering problem, to depend continuously on the observed data Y = {Y-s, s is an element of [0, t]}. Indeed, if the signal and the observation noise are independent one can show that, for any suitably chosen test function f, there exists a cont...
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作者：Ruggiero, Matteo; Walker, Stephen G.; Favaro, Stefano
作者单位：University of Turin; University of Kent
摘要：The infinitely-many-neutral-alleles model has recently been extended to a class of diffusion processes associated with Gibbs partitions of two-parameter Poisson-Dirichlet type. This paper introduces a family of infinite-dimensional diffusions associated with a different subclass of Gibbs partitions, induced by normalized inverse-Gaussian random probability measures. Such diffusions describe the evolution of the frequencies of infinitely-many types together with the dynamics of the time-varying...
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作者：Penrose, Mathew D.; Yukich, J. E.
作者单位：University of Bath; Lehigh University
摘要：Let Y-i, i >= 1, be i.i.d. random variables having values in an m-dimensional manifold M subset of R-d and consider sums Sigma(n)(i=1) xi (n(1/m)Y(i), {n(1/m)Y(j)}(j=1)(n)), where xi is a real valued function defined on pairs (y, Y), with y epsilon R-d and Y subset of R-d locally finite. Subject to xi satisfying a weak spatial dependence and continuity condition, we show that such sums satisfy weak laws of large numbers, variance asymptotics and central limit theorems. We show that the limit b...
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作者：Martinelli, F.; Toninelli, C.
作者单位：Roma Tre University; Centre National de la Recherche Scientifique (CNRS); Sorbonne Universite; Universite Paris Cite
摘要：We analyze kinetically constrained 0-1 spin models (KCSM) on rooted and unrooted trees of finite connectivity. We focus in particular on the class of Friedrickson-Andersen models FA-jf and on an oriented version of them. These tree models are particularly relevant in physics literature since some of them undergo an ergodicity breaking transition with the mixed first-second order character of the glass transition. Here we first identify the ergodicity regime and prove that the critical density ...
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作者：Stolyar, Alexander L.; Yudovina, Elena
作者单位：AT&T; Alcatel-Lucent; University of Michigan System; University of Michigan
摘要：We consider general large-scale service systems with multiple customer classes and multiple server (agent) pools, mean service times depend both on the customer class and server pool. It is assumed that the allowed activities (routing choices) form a tree (in the graph with vertices being both customer classes and server pools). We study the behavior of the system under a natural (load balancing) routing/scheduling rule, Longest-Queue Freest-Server (LQFS-LB), in the many-server asymptotic regi...
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作者：Musacchio, John; Walrand, Jean
作者单位：University of California System; University of California Santa Cruz; University of California System; University of California Berkeley
摘要：We study a simple rate control scheme for a multiclass queuing network for which customers are partitioned into distinct flows that are queued separately at each station. The control scheme discards customers that arrive to the network ingress whenever any one of the flow's queues throughout the network holds more than a specified threshold number of customers. We prove that if the state of a corresponding fluid model tends to a set where the flow rates are equal to target rates, then there ex...
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作者：Collevecchio, Andrea; Cotar, Codina; LiCalzi, Marco
作者单位：Universita Ca Foscari Venezia; Monash University; Technical University of Munich
摘要：We study a general preferential attachment and Polya's urn model. At each step a new vertex is introduced, which can be connected to at most one existing vertex. If it is disconnected, it becomes a pioneer vertex. Given that it is not disconnected, it joins an existing pioneer vertex with probability proportional to a function of the degree of that vertex. This function is allowed to be vertex-dependent, and is called the reinforcement function. We prove that there can be at most three phases ...
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作者：Damron, Michael; Hochman, Michael
作者单位：Princeton University
摘要：We construct an edge-weight distribution for i.i.d. first-passage percolation on Z(2) whose limit shape is not a polygon and whose extreme points are arbitrarily dense in the boundary. Consequently, the associated Richardson-type growth model can support coexistence of a countably infinite number of distinct species, and the graph of infection has infinitely many ends.
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作者：Broutin, Nicolas; Neininger, Ralph; Sulzbach, Henning
作者单位：Goethe University Frankfurt
摘要：We consider the problem of recovering items matching a partially specified pattern in multidimensional trees (quadtrees and k-d trees). We assume the traditional model where the data consist of independent and uniform points in the unit square. For this model, in a structure on n points, it is known that the number of nodes C-n(xi) to visit in order to report the items matching a random query xi, independent and uniformly distributed on [0, 1], satisfies E[C-n(xi)] similar to kappa n(beta), wh...
