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作者：Kyprianou, AE; Pistorius, MR
作者单位：Utrecht University; University of London; King's College London
摘要：In this article it is shown that one is able to evaluate the price of perpetual calls, puts, Russian and integral options directly as the Laplace transform of a stopping time of an appropriate diffusion using standard fluctuation theory. This approach is offered in contrast to the approach of optimal stopping through free boundary problems. Following ideas of Carr [Rev. Fin. Studies 11 (1998) 597-626], we discuss the Canadization of these options as a method of approximation to their finite ti...
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作者：Eibeck, A; Wagner, W
作者单位：Leibniz Association; Weierstrass Institute for Applied Analysis & Stochastics
摘要：We present the stochastic approach to nonlinear kinetic equations (without gradient terms) in a unifying general framework, which covers many interactions important in applications, such as coagulation, fragmentation, inelastic collisions, as well as source and efflux terms. We provide conditions for the existence of corresponding stochastic particle systems in the sense of regularity (nonexplosion) of a jump process with unbounded intensity. Using an appropriate space of measure-valued functi...
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作者：Booth, L; Bruck, J; Franceschetti, M; Meester, R
作者单位：Utrecht University; California Institute of Technology; Vrije Universiteit Amsterdam
摘要：Continuum percolation models in which each point of a two-dimensional Poisson point process is the centre of a disc of given (or random) radius r, have been extensively studied. In this paper, we consider the generalization in which a deterministic algorithm (given the points of the point process) places the discs on the plane, in such a way that each disc covers at least one point of the point process and that each point is covered by at least one disc. This gives a model for wireless communi...
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作者：Guo, XP; Hernández-Lerma, O
作者单位：Sun Yat Sen University; CINVESTAV - Centro de Investigacion y de Estudios Avanzados del Instituto Politecnico Nacional; Instituto Politecnico Nacional - Mexico
摘要：This paper concerns studies on continuous-time controlled Markov chains, that is, continuous-time Markov decision processes with a denumerable state space, with respect to the discounted cost criterion. The cost and transition rates are allowed to be unbounded and the action set is a Borel space. We first study control problems in the class of deterministic stationary policies and give very weak conditions under which the existence of epsilon-optimal (epsilon greater than or equal to 0) polici...
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作者：Cohn, H; Wang, Q
作者单位：University of Melbourne
摘要：For a multitype branching process in varying environment convergent in probability, a certain sequence of linear combinations of the type sizes is shown to possess some convergence properties. This sequence turns out to be instrumental in deriving a condition for continuity of the limiting distribution function. An application to an L-1 convergent process whose offspring mean matrices are weakly ergodic is also given.
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作者：Gao, FQ; Quastel, J
作者单位：Hubei University; University of Toronto
摘要：We give bounds on the exponential decay rate of entropy in the random transposition model and the Bernoulli-Laplace model which are independent of the number of sites and the number of particles. This is then used to give a bound on the time to stationarity in the total variation norm.
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作者：Guérin, H
作者单位：Universite Paris Nanterre
摘要：This article deals with a way to solve the spatially homogeneous Landau equation using probabilistic tools. Thanks to the study of a nonlinear stochastic differential equation driven by a space-time white noise, we state the existence of a measure solution of the Landau equation with probability measure initial data, for a generalization of the Maxwellian molecules case. Then, by approximation of the Landau coefficients, the first result helps us to state the existence of a measure solution fo...
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作者：Joyce, P; Krone, SM; Kurtz, TG
作者单位：University of Idaho; University of Wisconsin System; University of Wisconsin Madison; University of Wisconsin System; University of Wisconsin Madison
摘要：One of the goals of this paper is to show that the infinite-alleles model with overdominant selection looks like the neutral infinite-alleles model when the selection intensity and mutation rate get large together. This rather surprising behavior was noticed by Gillespie (1999) in simulations. To make rigorous and refine Gillespie's observations, we analyze the limiting behavior of the likelihood ratio of the stationary distributions for the model under selection and neutrality, as the mutatio...
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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：A single queueing station that serves K input streams is considered. Each stream is an independent renewal process, with customers having random lead times. Customers are served by processor sharing across streams. Within each stream, two disciplines are considered-earliest deadline first and first-in, first-out. The set of current lead times of the K streams is modeled as a K-dimensional vector of random counting measures on R, and the limit of this vector of measure-valued processes is obtai...
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作者：Chow, Y; Zhang, Y
作者单位：Academia Sinica - Taiwan; University of Colorado System; University of Colorado at Colorado Springs
摘要：Consider the standard first-passage percolation on Z(d), d greater than or equal to 2. Denote by phi(0,n) the face-face first-passage time in [0, n](d). It is well known that Lim(n-->infinity) phi0,n/n = mu(F) a.s. and in L-1, where F is the common distribution on each edge. In this paper we show that the upper and lower tails of phi(0,n) are quite different when mu(F) > 0. More precisely, we can show that for small epsilon > 0, there exist constants alpha(epsilon, F) and beta(epsilon, F) such...
