-
作者：Bouchard, B; El Karoui, N; Touzi, N
作者单位：Universite Paris Cite; Sorbonne Universite; Institut Polytechnique de Paris; ENSAE Paris; Institut Polytechnique de Paris; Ecole Polytechnique; Universite PSL; Universite Paris-Dauphine
摘要：We study a maturity randomization technique for approximating optimal control problems. The algorithm is based on a sequence of control problems with random terminal horizon which converges to the original one. This is a generalization of the so-called Canadization procedure suggested by Carr [Review of Financial Studies II (1998) 597-626] for the fast computation of American put option prices. In addition to the original application of this technique to optimal stopping problems, we provide a...
-
作者：Mohamed, H; Robert, P
作者单位：Inria
摘要：In this paper a general class of tree algorithms is analyzed. It is shown that, by using an appropriate probabilistic representation of the quantities of interest, the asymptotic behavior of these algorithms can be obtained quite easily without resorting to the usual complex analysis techniques. This approach gives a unified probabilistic treatment of these questions. It simplifies and extends some of the results known in this domain.
-
作者：Mountford, T; Guiol, H
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Communaute Universite Grenoble Alpes; Universite Grenoble Alpes (UGA); Institut National Polytechnique de Grenoble
摘要：We prove a strong law of large numbers for the location of the second class particle in a totally asymmetric exclusion process when the process is started initially from a decreasing shock. This completes a study initiated in Ferrari and Kipnis [Ann. Inst. H. Poincare Probab. Statist. 13 (1995) 143-154].
-
作者：Ata, B; Kumar, S
作者单位：Northwestern University; Stanford University
摘要：We consider a class of open stochastic processing networks, with feedback routing and overlapping server capabilities, in heavy traffic. The networks we consider satisfy the so-called complete resource pooling condition and therefore have one-dimensional approximating Brownian control problems. We propose a simple discrete review policy for controlling such networks. Assuming 2 + epsilon moments on the interarrival times and processing times, we provide a conceptually simple proof of asymptoti...
-
作者：Del Moral, P; Tindel, S
作者单位：Centre National de la Recherche Scientifique (CNRS); Universite Cote d'Azur; Universite de Lorraine
摘要：In this paper we investigate the speed of convergence of the fluctuations of a general class of Feynman-Kac particle approximation models. We design an original approach based on new Berry-Esseen type estimates for abstract martingale sequences combined with original exponential concentration estimates of interacting processes. These results extend the corresponding statements in the classical theory and apply to a class of branching and genealogical path-particle models arising in nonlinear f...
-
作者：Chan, HP
作者单位：National University of Singapore
摘要：A summation test is proposed to determine admissible types of gap penalties for logarithmic growth of the local alignment score. We also define a converging sequence of log moment generating functions that provide the constants associated with the large deviation rate and logarithmic strong law of the local alignment score and the asymptotic number of matches in the optimal local alignment.
-
作者：Dietz, Z; Sethuraman, S
作者单位：Tulane University; Iowa State University
摘要：Large deviation results are given for a class of perturbed nonhomogeneous Markov chains on finite state space which formally includes some stochastic optimization algorithms. Specifically, let {P-n} be a sequence of transition matrices on a finite state space which converge to a limit transition matrix P. Let {X-n} be the associated nonhomogeneous Markov chain where P, controls movement from time n - 1 to n. The main statements are a large deviation principle and bounds for additive functional...
-
作者：Dupuis, P; Wang, H
作者单位：Brown University
摘要：Importance sampling is a variance reduction technique for efficient estimation of rare-event probabilities by Monte Carlo. In standard importance sampling schemes, the system is simulated using an a priori fixed change of measure suggested by a large deviation lower bound analysis. Recent work, however, has suggested that such schemes do not work well in many situations. In this paper we consider dynamic importance sampling in the setting of uniformly recurrent Markov chains. By dynamic we mea...
-
作者：Nacu, E; Peres, Y
作者单位：University of California System; University of California Berkeley; University of California System; University of California Berkeley
摘要：Let S subset of (0, 1). Given a known function f : S --> (0, 1), we consider the problem of using independent tosses of a coin with probability of heads p (where p is an element of S is unknown) to simulate a coin with probability of heads f(p). We prove that if S is a closed interval and f is real analytic on S, then f has a fast simulation on S (the number of p-coin tosses needed has exponential tails). Conversely, if a function f has a fast simulation on an open set, then it is real analyti...
-
作者：Atar, R
作者单位：Technion Israel Institute of Technology
摘要：This paper studies a diffusion model that arises as the limit of a queueing system scheduling problem in the asymptotic heavy traffic regime of Halfin and Whitt. The queueing system consists of several customer classes and many servers working in parallel, grouped in several stations. Servers in different stations offer service to customers of each class at possibly different rates. The control corresponds to selecting what customer class each server serves at each time. The diffusion control ...
