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作者：Martin, JB
作者单位：Universite PSL; Ecole Normale Superieure (ENS); Inria
摘要：We consider a Jackson-type network, each of whose nodes contains N identical channels with a single server. Upon arriving at a node, a task selects m of the channels at random and joins the shortest of the m queues observed. We fix a collection of channels in the network, and analyze how the queue-length processes at these channels vary as N --> infinity. If the initial conditions converge suitably, the distribution of these processes converges in local variation distance to a limit under whic...
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作者：Weber, M
作者单位：Technische Universitat Dresden
摘要：Occupation time functionals for a diffusion process or a birth-and-death process on the edges of a graph Gamma depending only on the values of the process on a part Gamma ' subset of Gamma of Gamma are closely related to so-called eigenvalue depending boundary conditions for the resolvent of the process. Under the assumption that the connected components of Gamma \ Gamma ' are trees, we use the special structure of these boundary conditions to give a procedure that replaces each of the trees b...
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作者：Del Moral, P; Miclo, L
作者单位：Centre National de la Recherche Scientifique (CNRS); Universite de Toulouse; Universite Toulouse III - Paul Sabatier
摘要：A path-valued interacting particle systems model for the genealogical structure of genetic algorithms is presented, We connect the historical process and the distribution of the whole ancestral tree with a class of Feynman-Kac formulae on path space. We also prove increasing and uniform versions of propagation of chaos for appropriate particle block size and time horizon yielding what seems to be the first result of this type for this class of particle systems.
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作者：Deelstra, G; Pham, H; Touzi, N
作者单位：Institut Polytechnique de Paris; ENSAE Paris; Universite Paris Cite; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Sorbonne Universite; Institut Polytechnique de Paris; ENSAE Paris
摘要：In the context of a general multivariate financial market with transaction costs, we consider the problem of maximizing expected utility from terminal wealth. In contrast with the existing literature, where only the liquidation value of the terminal portfolio is relevant, we consider general utility functions which are only required to be consistent with the structure of the transaction costs. An important feature of our analysis is that the utility function is not required to be C-1. Such non...
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作者：Penrose, MD; Yukich, JE
作者单位：Durham University; Lehigh University
摘要：Let (B-n) be an increasing sequence of regions in d-dimensional space with volume n and with union R-d. We prove a general central limit theorem for functionals of point sets, obtained either by restricting a homogeneous Poisson process to Bn, or by by taking n uniformly distributed points in B-n. The sets B-n could be all cubes but a more general class of regions B-n is considered. Using this general result we obtain central limit theorems for specific functionals such as total edge length an...
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作者：Bramson, M; Lebowitz, JL
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Rutgers University System; Rutgers University New Brunswick; Rutgers University System; Rutgers University New Brunswick
摘要：Consider the system of particles on Z(d) where particles are of two types, A and B, and execute simple random walks in continuous time. Particles do not interact with their own type, but when a type A particle meets a type B particle, both disappear. Initially, particles are assumed to be distributed according to homogeneous Poisson random fields, with equal intensities for the two types. This system serves as a model for the chemical reaction A + B --> inert. In Bramson and Lebowitz [7], the ...
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作者：Neininger, R; Rüschendorf, L
作者单位：University of Freiburg
摘要：It is proved that in an idealized uniform probabilistic model the cost of a partial match query in a multidimensional quadtree after normalization converges in distribution. The limiting distribution is given as a fixed point of a random affine operator. Also a first-order asymptotic expansion for the variance of the cost is derived and results on exponential moments are given. The analysis is based on the contraction method.
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作者：Skoulakis, G; Adler, RJ
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Technion Israel Institute of Technology
摘要：We study a specific particle system in which particles undergo random branching and spatial motion. Such systems are best described, mathematically, via measure valued stochastic processes. As is now quite standard, we study the so-called superprocess limit of such a system as both the number of particles in the system and the branching rate tend to infinity. What differentiates our system from the classical superprocess case, in which the particles move independently of each other, is that th...
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作者：van der Hofstad, R; Klenke, A
作者单位：Delft University of Technology; University of Erlangen Nuremberg
摘要：We consider a repulsion-attraction model for a random polymer of finite length in Z(d). Its law is that of a finite simple random walk path in Zd receiving a penalty e-(2beta) for every self-intersection, and a reward e(gamma/d) for every pair of neighboring monomers. The nonnegative parameters 0 and y measure the strength of repellence and attraction, respectively. We show that for gamma > beta the attraction dominates the repulsion; that is, with high probability the polymer is contained in ...
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作者：Wiktorsson, M
作者单位：Lund University
摘要：We consider all two-times iterated Ito integrals obtained by pairing nr independent standard Brownian motions, First we calculate the conditional joint characteristic function of these integrals, given the Brownian increments over the integration interval, and show that it has a form entirely similar to what is obtained in the univariate case. Then we propose an algorithm for the simultaneous simulation of the m(2) integrals conditioned on the Brownian increments that achieves a mean square er...
