-
作者：Bolthausen, E; Kistler, N
作者单位：University of Zurich
摘要：We introduce a natural nonhierarchical version of Derrida's generalized random energy model. We prove that, in the thermodynamical limit, the free energy is the same as that of a suitably constructed GREM.
-
作者：Gamarnik, D; Zeevi, A
作者单位：Massachusetts Institute of Technology (MIT); Columbia University
摘要：We consider a single class open queueing network, also known as a generalized Jackson network (GJN). A classical result in heavy-traffic theory asserts that the sequence of normalized queue length processes of the GJN converge weakly to a reflected Brownian motion (RBM) in the orthant. as, the traffic intensity approaches unity. However, barring simple instances, it is still not known whether the stationary distribution of RBM provides a valid approximation for the steady-state of the original...
-
作者：Lejay, A; Martinez, M
作者单位：Universite de Lorraine; Universite Cote d'Azur
摘要：The aim of this article is to provide a scheme for simulating diffusion processes evolving in one-dimensional discontinuous media. This scheme does not rely on smoothing the coefficients that appear in the infinitesimal generator of the diffusion processes, but uses instead an exact description of the behavior of their trajectories when they reach the points of discontinuity. This description is supplied with the local comparison of the trajectories of the diffusion processes with those of a s...
-
作者：Atar, Rami; Mandelbaum, Avi; Shaikhet, Gennady
作者单位：Technion Israel Institute of Technology; Technion Israel Institute of Technology
摘要：A queueing model has J >= 2 heterogeneous service stations, each consisting of many independent servers with identical capabilities. Customers of 1 >= 2 classes can be served at these stations at different rates, that depend on both the class and the station. A system administrator dynamically controls scheduling and routing. We study this model in the central limit theorem (or heavy traffic) regime proposed by Haffin and Whitt. We derive a diffusion model on R-I with a singular control term t...
-
作者：Kramkov, Dmitry; Sirbu, Mihai
作者单位：Carnegie Mellon University; Columbia University
摘要：We study the two-times differentiability of the value functions of the primal and dual optimization problems that appear in the setting of expected utility maximization in incomplete markets. We also study the differentiability of the solutions to these problems with respect to their initial values. We show that the key conditions for the results to hold true are that the relative risk aversion coefficient of the utility function is uniformly bounded away from zero and infinity, and that the p...
-
作者：Delarue, F; Menozzi, S
作者单位：Sorbonne Universite
摘要：We propose a time-space discretization scheme for quasi-linear parabolic PDEs. The algorithm relies on the theory of fully Coupled forward-backward SDEs, which provides an efficient probabilistic representation of this type of equation. The derivated algorithm holds for strong solutions defined oil any interval of arbitrary length. As a bypass product, We obtain a discretization procedure for the underlying FBSDE. In particular, our work provides an alternative to the method described in [Doug...
-
作者：Etheridge, Alison; Pfaffelhuber, Peter; Wakolbinger, Anton
作者单位：University of Oxford; University of Munich; Goethe University Frankfurt
摘要：For a genetic locus carrying a strongly beneficial allele which has just fixed in a large population. we study the ancestry at a linked neutral locus. During this selective sweep'' the linkage between the two loci is broken up by recombination and the ancestry at the neutral locus is modeled by a structured coalescent in a random background. For large selection coefficients et and under an appropriate scaling of the recombination rate. we derive a sampling formula with an order of accuracy of ...
-
作者：Meyn, SP
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Consider the normalized partial sums of a real-valued function F of a Markov chain. [GRAPHICS] The chain {phi(k):k >= 0} takes values in a general state space X, with transition kernel P, and it is assumed that the Lyapunov drift condition holds: PV <= V - W + bII(C) where V : X -> (0, infinity). W : X -> [1. infinity]. the set C is small and W dominates F. Under these assumptions, the following conclusions are obtained: 1. It is known that this drift condition is equivalent to the existence o...
-
作者：Cohen, Serge; Samorodnitsky, Gennady
作者单位：Universite de Toulouse; Universite Toulouse III - Paul Sabatier; Cornell University
摘要：We describe a new class of self-similar symmetric a-stable processes with stationary increments arising as a large time scale limit in a situation where many users are earning random rewards or incurring random costs. The resulting models are different from the ones studied earlier both in their memory properties and smoothness of the sample paths.
-
作者：Cvitanic, Jaksa; Liptser, Robert; Rozovskii, Boris
作者单位：California Institute of Technology; Tel Aviv University; University of Southern California
摘要：This paper is concerned with nonlinear filtering of the coefficients in asset price models with stochastic volatility. More specifically, we assume that the asset price process S=(S-t)(t >= 0) is given by dS(t)=m(theta(t))S(t)dt+v(theta(t))S(t)dB(t), where B=(B-t)(t >= 0) is a Brownian motion, v is a positive function and theta=(theta(t))(t >= 0) is a cadlag strong Markov process. The random process theta is unobservable. We assume also that the asset price St is observed only at random times ...
