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作者：Berkes, I; Horváth, L
作者单位：HUN-REN; HUN-REN Alfred Renyi Institute of Mathematics; Hungarian Academy of Sciences; Utah System of Higher Education; University of Utah
摘要：We obtain a strong approximation for the empirical process of n observed elements of a GARCH sequence. The weak convergence of the empirical process and the law of the iterated logarithm are immediate consequences.
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作者：Millet, A; Morien, PL
作者单位：Sorbonne Universite; Sorbonne Universite; Universite Paris Cite; Universite Paris Nanterre
摘要：In this paper, we investigate the existence and uniqueness of the solution for a class of stochastic wave equations in two space-dimensions containing a non-linearity of polynomial type. The method used in the proofs combines functional analysis arguments with probabilistic tools, and further estimates for the Green function associated with the classical wave equation.
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作者：Foley, RD; McDonald, DR
作者单位：University System of Georgia; Georgia Institute of Technology; University of Ottawa
摘要：We consider the stability of a network serving a patchwork of overlapping regions where customers from a local region are assigned to a collection of local servers. These customers join the queue of the local server with the shortest queue of waiting customers. We then describe how the backlog in the network overloads. We do this in the simple case of two servers each of which receives a dedicated stream of customers in addition to customers from a stream of smart customers who join the shorte...
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作者：Jankunas, A
摘要：Given a particular market variable, which could be finite dimensional (e.g., a price vector of a collection of stocks) or infinite dimensional (e.g., a price trajectory of some security over some period of time), we find the unique optimal European claim contingent on that variable in the sense that, for a given price and risk tolerance level, this claim has the highest expected return possible. The optimal contingent claims seem to be attractive investment instruments and are proposed for tra...
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作者：Schachermayer, W
作者单位：Technische Universitat Wien
摘要：This paper accompanies a previous one by D. Kramkov and the present author. While in [ 17] we considered utility functions U : R+ --> R satisfying the Inada conditions U'(0) = infinity and U'(infinity) = 0, in the present paper we consider utility functions U : R --> R which are finitely valued, for all x is an element of R, and satisfy U'(- infinity) = infinity and U'(infinity) = 0. A typical example of this situation is the exponential utility U(x) = -e(-x). In the setting of [17] the follow...
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作者：Gosselin, F
作者单位：Universite PSL; Ecole Pratique des Hautes Etudes (EPHE); Institut Agro; Montpellier SupAgro; CIRAD; Centre National de la Recherche Scientifique (CNRS); Institut de Recherche pour le Developpement (IRD); Universite Paul-Valery; Universite de Montpellier
摘要：We find a Lyapunov-ty pe sufficient condition for discrete-time Markov chains on a countable state space including an absorbing set to almost surely reach this absorbing set and to asymptotically stabilize conditional on nonabsorption. This result is applied to Bienayme-Galton-Watson-like branching processes in which the offspring distribution depends on the current population size. This yields a generalization of the Yaglom limit. The techniques used mainly rely on the spectral theory of line...
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作者：Fagin, R; Karlin, AR; Kleinberg, J; Raghavan, P; Rajagopalan, S; Rubinfeld, R; Sudan, M; Tomkins, A
作者单位：International Business Machines (IBM); IBM USA; University of Washington; University of Washington Seattle; Cornell University; Massachusetts Institute of Technology (MIT)
摘要：We introduce backoff processes, an idealized stochastic model of browsing on the World Wide Web, which incorporates both hyperlink traversals and use of the ''back button.'' With some probability the next state is generated by a distribution over out-edges from the current state, as in a traditional Markov chain. With the remaining probability, however, the next state is generated by clicking on the back button and returning to the state from which the current state was entered by a ''forward ...
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作者：Weber, M
作者单位：Technische Universitat Dresden
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作者：Duckworth, K; Zervos, M
作者单位：University of London; King's College London
摘要：We address the problem of determining in an optimal way the sequence of times at which a firm can enter or exit an economic activity. In particular, we consider an investment model which involves production scheduling as well as a sequence of entry and exit decisions. The pricing of an investment conforming with this model gives rise to a stochastic impulse control problem that we explicitly solve. Our solution takes qualitatively different forms, depending on the problem's data.
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作者：Barbour, AD; Chryssaphinou, O
作者单位：University of Zurich; National & Kapodistrian University of Athens
摘要：Compound Poisson approximation is a useful tool in a variety of applications, including insurance mathematics, reliability theory, and molecular sequence analysis. In this paper, we review the ways in which Stein's method can currently be used to derive bounds on the error in such approximations. The theoretical basis for the construction of error bounds is systematically discussed, and a number of specific examples are used for illustration. We give no numerical comparisons in this paper, con...
