The Annals of Applied Probability

最新文章

• A complete explicit solution to the log-optimal portfolio problem AI翻译
  作者：Goll, T; Kallsen, J
  作者单位：University of Freiburg
  摘要：D. Kramkov and W. Schachermayer [Ann. Appl. Probab. 9 (1999) 904950] proved the existence of log-optimal portfolios under weak assumptions in a very general setting. For many-but not all-cases, T. Goll and J. Kallsen [Stochastic Process. Appl. 89 (2000) 31-48] obtained the optimal solution explicitly in terms of the semimartingale characteristics of the price process. By extending this result, this paper provides a complete explicit characterization of log-optimal portfolios without constraint...
• Harmonic moments and large deviation rates for supercritical branching processes AI翻译
  作者：Ney, PE; Vidyashankar, AN
  作者单位：University of Wisconsin System; University of Wisconsin Madison; University System of Georgia; University of Georgia
  摘要：Let {Z(n), n greater than or equal to 1) be a single type supercritical Galton-Watson process with mean EZ(1) equivalent to m initiated by a single ancestor. This paper studies the large deviation behavior of the sequence {R-n equivalent to (Zn)-(Zn+1) : n greater than or equal to 1} and establishes a phase transition in rates depending on whether r, the maximal number of moments possessed by the offspring distribution, is less than, equal to or greater than the Schroder constant alpha. This i...
• A stochastically quasi-optimal search algorithm for the maximum of the simple random walk AI翻译
  作者：Chassaing, P; Marckert, JF; Yor, M
  作者单位：Universite de Lorraine; Universite Paris Saclay; Universite Paris Cite; Sorbonne Universite
  摘要：Odlyzko [Random Structures Algorithms 6 (1995) 275-295] exhibited an asymptotically optimal algorithm, with respect to the average cost, among algorithms that find the maximum of a random walk by using only probes and comparisons. We extend Odlyzko's techniques to prove that his algorithm is indeed asymptotically optimal in distribution (with respect to the stochastic order). We also characterize the limit law of its cost. Computing its moments in two ways allows us to recover a surprising ide...
• On validity of the asymptotic expansion approach in contingent claim analysis AI翻译
  作者：Kunitomo, N; Takahashi, A
  作者单位：University of Tokyo; University of Tokyo
  摘要：Kunitomo and Takahashi (1995, 2001) have proposed a new methodology, called small disturbance asymptotics, for the valuation problem of financial contingent claims when the underlying asset prices follow a general class of continuous Ito processes. It can be applicable to a wide range of valuation problems, including complicated contingent claims associated with the Black-Scholes model and the term structure model of interest rates in the Heath-Jarrow-Morton framework. Our approach can be rigo...
• Strong approximation of the empirical process of GARCH sequences (vol 11, pg 789, 2001) AI翻译
  作者：Berkes, I; Horváth, L
  作者单位：Hungarian Academy of Sciences; HUN-REN; HUN-REN Alfred Renyi Institute of Mathematics; Utah System of Higher Education; University of Utah
• Fluid and heavy traffic diffusion limits for a generalized processor sharing model AI翻译
  作者：Ramanan, K; Reiman, MI
  作者单位：AT&T; Alcatel-Lucent; Lucent Technologies
  摘要：Under fairly general assumptions on the arrival and service time processes, we prove fluid and heavy traffic limit theorems for the unfinished work, queue length, sojourn time and waiting time processes associated with a single station multiclass generalized processor sharing model. The fluid limit of the unfinished work process is characterized by the Skorokhod map associated with a Skorokhod problem formulation of the generalized processor sharing model, while the heavy traffic diffusion lim...
• A stochastic particle method with random weights for the computation of statistical solutions of McKean-Vlasov equations AI翻译
  作者：Talay, D; Vaillant, O
  作者单位：Inria
  摘要：We are interested in statistical solutions of McKean-Vlasov-Fokker-Planck equations. An example of motivation is the Navier-Stokes equation for the vorticity of a two-dimensional incompressible fluid flow. We propose an original and efficient numerical method to compute moments of such solutions. It is a stochastic particle method with random weights. These weights are defined through nonparametric estimators of a regression function and convey the uncertainty on the initial condition of the c...
• The stepping stone model: New formulas expose old myths (vol 12, pg 1348, 2002) AI翻译
  作者：Cox, T; Durrett, R
  作者单位：Syracuse University; Cornell University
• Some probability distributions in modeling DNA replication AI翻译
  作者：Lachal, A
  作者单位：Institut National des Sciences Appliquees de Lyon - INSA Lyon
  摘要：By using some quasi-renewal-like equations and functional differential equations, we explicitly compute the Laplace transforms of some random variables introduced by Cowan and Chiu in modeling the mechanism of replication of a DNA molecule [J. Appl. Probab. (1994) 31 301-308]. These Laplace transforms are expressed by means of infinite products arising in the theory of partitions.
• Control of end-to-end delay tails in a multiclass network: LWDF discipline optimality AI翻译
  作者：Stolyar, AL
  作者单位：Alcatel-Lucent; Lucent Technologies; AT&T
  摘要：We consider a multiclass queueing network with N customer classes, each having an arbitrary fixed route through the network. (Thus, the network is not necessarily feedforward.) We show that the largest weighted delay first (LWDF) discipline is an optimal scheduling discipline in the network in the following sense. Let w(i) be the (random) instantaneous largest end-to-end delay of a class i customer in the network in stationary regime. For any set of positive constants alpha(1), . . . , alpha(N...