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作者：Hutzenthaler, M.; Wakolbinger, A.
作者单位：Goethe University Frankfurt
摘要：For a class of processes modeling the evolution of a spatially structured population with migration and a logistic local regulation of the reproduction dynamics, we show convergence to an upper invariant measure from a suitable class of initial distributions. It follows from recent work of Alison Etheridge that this upper invariant measure is nontrivial for sufficiently large super-criticality in the reproduction. For sufficiently small super-criticality, we prove local extinction by compariso...
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作者：Bally, Vlad; Bavouzet, Marie-Pierre; Messaoud, Marouen
作者单位：Universite Gustave-Eiffel; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Universite Paris-Est-Creteil-Val-de-Marne (UPEC)
摘要：We consider random variables of the form F = f(V-1,..., V-n), where f is a smooth function and Vi, i EN, are random variables with absolutely continuous law p(i) (y) dy. We assume that p(i), i = 1,..., n, are piecewise differentiable and we develop a differential calculus of Malliavin type based on a In pi. This allows us to establish an integration by parts formula E(delta i phi(F)G) = E(phi(F)H-i(F, G)), where H-i(F, G) is a random variable constructed using the differential operators acting...
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作者：Russo, Ralph P.; Shyamalkumar, Nariankadu D.
作者单位：University of Iowa
摘要：Suppose that mn observations are made from the distribution R and n - m(n) from the distribution S. Associate with each pair, x from R and y from S, a nonnegative score phi(x, y). An optimal reading policy is one that yields a sequence mn that maximizes E(M(n)), the expected sum of the (n - mn)mn observed scores, uniformly in n. The alternating policy, which switches between the two sources, is the optimal nonadaptive policy. In contrast, the greedy policy, which chooses its source to maximize...
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作者：Gromoll, Christian; Kruk, Lukasz
作者单位：Stanford University; Maria Curie-Sklodowska University
摘要：This paper considers a GI/GI/1 processor sharing queue in which jobs have soft deadlines. At each point in time, the collection of residual service times and deadlines is modeled using a random counting measure on the right half-plane. The limit of this measure valued process is obtained under diffusion scaling and heavy traffic conditions and is characterized as a deterministic function of the limiting queue length process. As special cases, one obtains diffusion approximations for the lead t...
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作者：Chi, Zhiyi
作者单位：University of Connecticut
摘要：Let (X-n, Y-n) be i.i.d. random vectors. Let W(x) be the partial sum of Yn just before that of X-n exceeds x > 0. Motivated by stochastic models for neural activity, uniform convergence of the form sup(c is an element of I) vertical bar a(c, x) Pr{W(x) >= cx} - 1 vertical bar = o(1), x -> infinity, is established for probabilities of large deviations, with a (c, x) a deterministic function and I an open interval. To obtain this uniform exact large deviations principle (LDP), we first establish...
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作者：Git, Y.; Harris, J. W.; Harris, S. C.
作者单位：University of Cambridge; University of Bristol; University of Bath
摘要：We study the high temperature phase of a family of typed branching diffusions initially studied in [Asterisque 236 (1996) 133-154] and [Lecture Notes in Math. 1729 (2000) 239-256 Springer, Berlin]. The primary aim is to establish some almost-sure limit results for the long-term behavior of this particle system, namely the speed at which the population of particles colonizes both space and type dimensions, as well as the rate at which the population grows within this asymptotic shape. Our appro...
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作者：Krieger, Abba M.; Pollak, Moshe; Samuel-Cahn, Ester
作者单位：University of Pennsylvania; Hebrew University of Jerusalem
摘要：In many situations, the decision maker observes items in sequence and needs to determine whether or not to retain a particular item immediately after it is observed. Any decision rule creates a set of items that are selected. We consider situations where the available information is the rank of a present observation relative to its predecessors. Certain natural selection rules are investigated. Theoretical results are presented pertaining to the evolution of the number of items selected, measu...
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作者：Bedard, Mylene
作者单位：University of Warwick
摘要：In this paper, we shall optimize the efficiency of Metropolis algorithms for multidimensional target distributions with scaling terms possibly depending on the dimension. We propose a method for determining the appropriate form for the scaling of the proposal distribution as a function of the dimension, which leads to the proof of an asymptotic diffusion theorem. We show that when there does not exist any component with a scaling term significantly smaller than the others, the asymptotically o...
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作者：Egloff, Daniel; Kohler, Michael; Todorovic, Nebojsa
摘要：Under the assumption of no-arbitrage, the pricing of American and Bermudan options can be casted into optimal stopping problems. We propose a new adaptive simulation based algorithm for the numerical solution of optimal stopping problems in discrete time. Our approach is to recursively compute the so-called continuation values. They are defined as regression functions of the cash flow, which would occur over a series of subsequent time periods, if the approximated optimal exercise strategy is ...
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作者：Kang, W.; Williams, R. J.
作者单位：Carnegie Mellon University; University of California System; University of California San Diego
摘要：Semimartingale reflecting Brownian motions (SRBMs) living in the closures of domains with piecewise smooth boundaries are of interest in applied probability because of their role as heavy traffic approximations for some stochastic networks. In this paper, assuming certain conditions on the domains and directions of reflection, a perturbation result, or invariance principle, for SRBMs is proved. This provides sufficient conditions for a process that satisfies the definition of an SRBM, except f...
