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作者：Pham, H; Quenez, MC
作者单位：Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Universite Paris Cite; Sorbonne Universite; Universite Gustave-Eiffel
摘要：We address the maximization problem of expected utility from terminal wealth. The special feature of this paper is that we consider a financial market where price process of risky assets follows a stochastic volatility model and we require that investors observe just the vector of stock prices. Using stochastic filtering techniques and adapting martingale duality methods in this partially observed incomplete model, we characterize the value function and the optimal portfolio policies. We study...
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作者：Eibeck, A; Wagner, W
作者单位：Leibniz Association; Weierstrass Institute for Applied Analysis & Stochastics
摘要：This paper studies stochastic particle approximations for Smoluchowski's coagulation equation. A new stochastic algorithm with reduced variance is proposed. Its convergence behavior is investigated, when the number of simulation particles tends to infinity. Under appropriate assumptions on the coagulation kernel, the limit is the unique solution of the coagulation equation. Then detailed numerical experiments are performed, testing the applicability and efficiency of the algorithm. In particul...
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作者：Lucic, VM; Heunis, AJ
作者单位：University of Waterloo
摘要：We study a nonlinear filtering problem in which the signal to be estimated is conditioned by the observations. The main results establish pathwise uniqueness for the unnormalized filter equation and uniqueness in law for the normalized and unnormalized filter equations.
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作者：Limic, V
作者单位：Cornell University
摘要：This paper describes the heavy-traffic behavior of an M/G/1 last-in-first-out preemptive resume queue. An appropriate framework for the analysis is provided by measure-valued processes. In particular, the paper exploits the setting of recent works by Le Gall and Le Jan. Their finite-measure-valued exploration process corresponds to our RES-measure (residual services measure) process, that captures all the relevant information about the evolution of the queue, while their height process corresp...
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作者：Bell, SL; Williams, RJ
作者单位：University of California System; University of California San Diego
摘要：This paper concerns a dynamic scheduling problem for a queueing system that has two streams of arrivals to infinite capacity buffers and two (nonidentical) servers working in parallel. One server can only process jobs from one buffer, whereas the other server can process jobs from either buffer. The service time distribution may depend on the buffer being served and the server providing the service. The system manager dynamically schedules waiting jobs onto available servers. We consider a par...
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作者：Chauvin, B; Drmota, M; Jabbour-Hattab, J
作者单位：Universite Paris Saclay; Centre National de la Recherche Scientifique (CNRS); Technische Universitat Wien
摘要：We characterize the limiting behavior of the number or nodes in level k of binary search trees T-n in the central region 1.2 log n less than or equal to k less than or equal to 2.8 log n. Especially we show that the width V, (the maximal number of internal nodes at the same level) satisfies (V) over bar (n) similar to (n/ root4pi log n) as n --> infinity a.s.
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作者：Drees, H
作者单位：Ruprecht Karls University Heidelberg
摘要：While the extreme value statistics for i.i.d data is well developed, much less is known about the asymptotic behavior of statistical procedures in the presence of dependence. We establish convergence of the tail empirical processes to Gaussian limits for beta -mixing stationary time series. As a consequence, one obtains weighted approximations of the tail empirical quantile function that is based on a random sequence with marginal distribution belonging to the domain of attraction of an extrem...
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作者：Zeevi, AJ; Glynn, PW
作者单位：Stanford University; Stanford University
摘要：Consider a queue with a stochastic fluid input process modeled as fractional Brownian motion (fBM). When the queue is stable, we prove that the maximum of the workload process observed over an interval of length t grows like gamma (logt)(1/(2-2H)), where H > 1/2 is the self-similarity index (also known as the Hurst parameter) that characterizes the fBM and can be explicitly computed. Consequently, we also have that the typical time required to reach a level b grows like exp{b(2(1-H))}. We also...
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作者：Diaconis, P; Holmes, S; Neal, RM
作者单位：Stanford University; INRAE; University of Toronto; University of Toronto
摘要：We analyze the convergence to stationarity of a simple nonreversible Markov chain that serves as a model for several nonreversible Markov chain sampling methods that are used in practice. Our theoretical and numerical results show that nonreversibility can indeed lead to improvements over the diffusive behavior of simple Markov chain sampling schemes. The analysis uses both probabilistic techniques and an explicit diagonalization.
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作者：Touzi, N
作者单位：Universite PSL; Universite Paris-Dauphine; Institut Polytechnique de Paris; ENSAE Paris
摘要：We study the stochastic control problem of maximizing expected utility from terminal wealth, when the wealth process is subject to shocks produced by a general marked point process; the problem of the agent is to derive the optimal allocation of his wealth between investments in a nonrisky asset and in a (costly) insurance strategy which allows lowering the level of the shocks. The agent's optimization problem is related to a suitable dual stochastic control problem in which the constraint on ...
