The Annals of Applied Probability

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• Induced gelation in a two-site spatial coagulation model AI翻译
  作者：Siegmund-Schultze, R; Wagner, W
  作者单位：Technical University of Berlin; Leibniz Association; Weierstrass Institute for Applied Analysis & Stochastics
  摘要：A two-site spatial coagulation model is considered, Particles of masses m and n at the same site form a new particle of mass m + n at rate inn. Independently, particles jump to the other site at a constant rate, The limit (for increasing particle numbers) of this model is expected to be nondeterministic after the gelation time, namely, one or two giant particles randomly jump between the two sites. Moreover, a new effect of induced gelation is observed-the gelation happening at the site with t...
• Bounded solutions to backward SDE's with jumps for utility optimization and indifference hedging AI翻译
  作者：Becherer, Dirk
  作者单位：Imperial College London
  摘要：We prove results on bounded solutions to backward stochastic equations driven by random measures. Those bounded BSDE solutions are then applied to solve different stochastic optimization problems with exponential utility in models where the underlying filtration is noncontinuous. This includes results on portfolio optimization under an additional liability and on dynamic utility indifference valuation and partial hedging in incomplete financial markets which are exposed to risk from unpredicta...
• Positive recurrence of processes associated to crystal growth models AI翻译
  作者：Andjel, E. D.; Menshikov, M. V.; Sisko, V. V.
  作者单位：Aix-Marseille Universite; Durham University; Universidade de Sao Paulo
  摘要：We show that certain Markov jump processes associated to crystal growth models are positive recurrent when the parameters satisfy a rather C natural condition.
• The density of the ISE and local limit laws for embedded trees AI翻译
  作者：Bousquet-Melou, Mireille; Janson, Svante
  作者单位：Universite de Bordeaux; Centre National de la Recherche Scientifique (CNRS); Uppsala University
  摘要：It has been known for a few years that the occupation measure of several models of embedded trees converges, after a suitable normalization, to the random measure called ISE (integrated SuperBrownian excursion). Here, we prove a local version of this result: ISE has a (random) Milder continuous density, and the vertical profile of embedded trees converges to this density, at least for some such trees. As a consequence, we derive a formula for the distribution of the density of ISE at a given p...
• Relaxation time of L-reversal chains and other chromosome shuffles AI翻译
  作者：Cancrini, N.; Caputo, P.; Martinelli, F.
  作者单位：University of L'Aquila; Sapienza University Rome
  摘要：We prove tight bounds on the relaxation time of the so-called L-reversal chain, which was introduced by R. Durrett as a stochastic model for the evolution of chromosome chains. The process is described as follows. We have n distinct letters on the vertices of the n-cycle (Z mod n); at each step, a connected subset of the graph is chosen uniformly at random among all those of length at most L, and the current permutation is shuffled by reversing the order of the letters over that subset. We sho...
• Separation cut-offs for birth and death chains AI翻译
  作者：Diaconis, Persi; Saloff-Coste, Laurent
  作者单位：Stanford University; Cornell University
  摘要：This paper gives a necessary and sufficient condition for a sequence of birth and death chains to converge abruptly to stationarity, that is, to present a cut-off. The condition involves the notions of spectral gap and mixing time. Y. Peres has observed that for many families of Markov chains, there is a cutoff if and only if the product of spectral gap and mixing time tends to infinity. We establish this for arbitrary birth and death chains in continuous time when the convergence is measured ...
• Sample path large deviations for multiclass feedforward queueing networks in critical loading AI翻译
  作者：Majewski, Kurt
  作者单位：Siemens AG; Siemens Germany
  摘要：We consider multiclass feedforward queueing networks with first in first out and priority service disciplines at the nodes, and class dependent deterministic routing between nodes. The random behavior of the network is constructed from cumulative arrival and service time processes which are assumed to satisfy an appropriate sample path large deviation principle. We establish logarithmic asymptotics of large deviations for waiting time, idle time, queue length, departure and sojourn-time proces...
• Local limit theory and large deviations for supercritical branching processes (vol 14, pg 1135, 2004) AI翻译
  作者：Ney, P. E.; Vidyashankar, Anand N.
  作者单位：University of Wisconsin System; University of Wisconsin Madison; Cornell University
• Nonmonotonicity of phase transitions in a loss network with controls AI翻译
  作者：Luen, Brad; Ramanan, Kavita; Ziedins, Ilze
  作者单位：University of California System; University of California Berkeley; Carnegie Mellon University; University of Auckland
  摘要：We consider a symmetric tree loss network that supports single-link (unicast) and multi-link (multicast) calls to nearest neighbors and has capacity C on each link. The network operates a control so that the number of multicast calls centered at any node cannot exceed C-V and the number of unicast calls at a link cannot exceed C-E, where C-E, C-V <= C. We show that uniqueness of Gibbs measures on the infinite tree is equivalent to the convergence of certain recursions of a related map. For the...
• Overshoots and undershoots of Levy processes AI翻译
  作者：Doney, RA; Kyprianou, AE
  作者单位：University of Manchester; Heriot Watt University
  摘要：We obtain a new fluctuation identity for a general Levy process giving a quintuple law describing the time of first passage, the time of the last maximum before first passage, the overshoot, the undershoot and the undershoot of the last maximum. With the help of this identity, we revisit the results of Kluppelberg, Kyprianou and Maller [Ann. Appl. Probab. 14 (2004) 1766-1801] concerning asymptotic overshoot distribution of a particular class of Levy processes with semi-heavy tails and refine s...