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作者：Huzak, M; Perman, M; Sikic, H; Vondracek, Z
作者单位：University of Zagreb; University of Ljubljana
摘要：We study a general perturbed risk process with cumulative claims modelled by a subordinator with finite expectation, with the perturbation being a spectrally negative Levy process with zero expectation. We derive a Pollaczek-Hinchin type formula for the survival probability of that risk process, and give an interpretation of the formula based on the decomposition of the dual risk process at modified ladder epochs.
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作者：Kruk, L; Lehoczky, J; Shreve, S; Yeung, SN
作者单位：Maria Curie-Sklodowska University; Carnegie Mellon University; Carnegie Mellon University; AT&T
摘要：This paper presents a heavy traffic analysis of the behavior of multi-class acyclic queueing networks in which the customers have deadlines. We assume the queueing system consists of J stations, and there are K different customer classes. Customers from each class arrive to the network according to independent renewal processes. The customers from each class are assigned a random deadline drawn from a deadline distribution associated with that class and they move from station to station accord...
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作者：Hugonnier, J; Kramkov, D
作者单位：Universite de Montreal; HEC Montreal; Universite de Montreal; Carnegie Mellon University
摘要：In this paper, we study the problem of expected utility maximization of an agent who, in addition to an initial capital, receives random endowments at maturity. Contrary to previous studies, we treat as the variables of the optimization problem not only the initial capital but also the number of units of the random endowments. We show that this approach leads to a dual problem, whose solution is always attained in the space of random variables. In particular, this technique does not require th...
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作者：Miyazawa, M
作者单位：Tokyo University of Science
摘要：Motivated by a risk process with positive and negative premium rates, we consider a real-valued Markov additive process with finitely many background states. This additive process linearly increases or decreases while the background state is unchanged, and may have upward jumps at the transition instants of the background state. It is known that the hitting probabilities of this additive process at lower levels have a matrix exponential form. We here study the hitting probabilities at upper le...
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作者：Fournier, N; Méléard, S
作者单位：Universite de Lorraine; Universite Paris Nanterre
摘要：We consider a discrete model that describes a locally regulated spatial population with mortality selection. This model was studied in parallel by Bolker and Pacala and Dieckmann, Law and Murrell. We first generalize this model by adding spatial dependence. Then we give a pathwise description in terms of Poisson point measures. We show that different normalizations may lead to different macroscopic approximations of this model. The first approximation is deterministic and gives a rigorous sens...
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作者：Müller-Gronbach, T
作者单位：Otto von Guericke University
摘要：We study pathwise approximation of scalar stochastic differential equations at a single point. We provide the exact rate of convergence of the minimal errors that can be achieved by arbitrary numerical methods that are based (in a measurable way) on a finite number of sequential observations of the driving Brownian motion. The resulting lower error bounds hold in particular for all methods that are implementable on a computer and use a random number generator to simulate the driving Brownian m...
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作者：Kratz, MF; Picco, P
作者单位：Universite Paris Cite; Aix-Marseille Universite
摘要：In this work we consider a problem related to the equilibrium statistical mechanics of spin glasses, namely the study of the Gibbs measure of the random energy model. For solving this problem, new results of independent interest on sums of spacings for i.i.d. Gaussian random variables are presented. Then we give a precise description of the support of the Gibbs measure below the critical temperature.
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作者：Balister, P; Bollobás, B; Walters, M
作者单位：University of Memphis
摘要：Let A be the annulus in R-2 centered at the origin with inner and outer radii r(1 - epsilon) and r, respectively. Place points {x(i)} in R-2 according to a Poisson process with intensity 1 and let G(A) be the random graph with vertex set {x(i)} and edges x(i)x(j) whenever x(i) - x(j) is an element of A. We show that if the area of A is large, then G(A) almost surely has an infinite component. Moreover, if we fix epsilon, increase r and let n(c) = n(c)(epsilon) be the area of A when this infini...
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作者：Kroese, DP; Scheinhardt, WRW; Taylor, PG
作者单位：University of Queensland; University of Twente; Centrum Wiskunde & Informatica (CWI); University of Melbourne
摘要：Quasi-birth-and-death (QBD) processes with infinite phase spaces can exhibit unusual and interesting behavior. One of the simplest examples of such a process is the two-node tandem Jackson network, with the phase giving the state of the first queue and the level giving the state of the second queue. In this paper, we undertake an extensive analysis of the properties of this QBD. In particular, we investigate the spectral properties of News's R-matrix and show that the decay rate of the station...
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作者：Çetin, U; Jarrow, R; Protter, P; Yildirim, Y
作者单位：Cornell University; Cornell University; Cornell University; Syracuse University
摘要：This paper provides an alternative approach to Duffie and Lando [Econometrica 69 (2001) 633-664] for obtaining a reduced form credit risk model from a structural model. Duffle and Lando obtain a reduced form model by constructing an economy where the market sees the manager's information set plus noise. The noise makes default a surprise to the market. In contrast, we obtain a reduced form model by constructing an economy where the market sees a reduction of the manager's information set. The ...
