The Annals of Applied Probability

最新文章

• Large deviations of Jackson networks AI翻译
  作者：Ignatiouk-Robert, I
  作者单位：CY Cergy Paris Universite
  摘要：The problem of large deviations for a Jackson network is analyzed in detail. A new representation of the rate function is given and a simple procedure is proposed to get its closed form expression. The methods used rely on twisted distributions, localized processes, fluid limits and II careful analysis of some functions.
• r-Scan statistics of a marker array in multiple sequences derived from a common progenitor AI翻译
  作者：Karlin, S; Chen, CF
  作者单位：Stanford University
  摘要：This study is motivated by problems of molecular sequence comparisons for biological traits conserved or lost over evolution time. A marker of interest is distributed in the genome of the ancestor and inherited among I offspring species which descend from this common ancestor. Each marker will be retained or lost during the evolution of the descendent species. The objective of the analysis here is to ascertain probabilities of clustering or overdispersion of the marker array among the sequence...
• Nonuniform random transformations AI翻译
  作者：O'Cinneide, CA; Pokrovskii, AV
  作者单位：Purdue University System; Purdue University; University College Cork
  摘要：With a given transformation on a finite domain, we associate a three-dimensional distribution function describing the component size, cycle length and trajectory length of each point in the domain. We then consider a random transformation on the domain, in which images of points are independent and identically distributed. The three-dimensional distribution function associated with this random transformation is itself random. We show that, under a simple homogeneity condition on the distributi...
• Compound Poisson approximation for counts of rare patterns in Markov chains and extreme sojourns in birth-death chains AI翻译
  作者：Erhardsson, T
  作者单位：Royal Institute of Technology
  摘要：We consider the number of overlapping occurrences up to a fixed time of one or several rare patterns in a stationary finite-state Markov chain. We derive a bound for the total variation distance between the distribution of this quantity and a compound Poisson distribution, using general results on compound Poisson approximation for Markov chains by Erhardsson. If the state space is {0, 1} and the pattern is a head run (111...111), the bound is completely explicit and improves on an earlier bou...
• A transition function expansion for a diffusion model with selection AI翻译
  作者：Barbour, AD; Ethier, SN; Griffiths, RC
  作者单位：University of Zurich; Utah System of Higher Education; University of Utah; Monash University
  摘要：Using duality, an expansion is found for the transition function of the reversible K-allele diffusion model in population genetics. In the neutral case, the expansion is explicit but already known. When selection is present, it depends on the distribution at time t of a specified R-type birth-and-death process starting at infinity. The latter process is constructed by means of a coupling argument and characterized as the Ray process corresponding to the Ray-Knight compactification of the K-dim...
• Fractional Brownian motions in a limit of turbulent transport AI翻译
  作者：Fannjiang, A; Komorowski, T
  作者单位：University of California System; University of California Davis; Maria Curie-Sklodowska University; Polish Academy of Sciences
  摘要：We show that the motion of a particle advected by a random Gaussian velocity held with long-range correlations converges to a fractional Brownian motion in the long time limit.
• Self-similar communication models and very heavy tails AI翻译
  作者：Resnick, S; Rootzén, H
  作者单位：Cornell University; Chalmers University of Technology
  摘要：Several studies of file sizes either being downloaded or stored in the World Wide Web have commented that tails can be so heavy that not only are variances infinite, but so are means. Motivated by this fact, we study the infinite node Poisson model under the assumption that transmission times are heavy tailed with infinite mean. The model is unstable but we are able to provide growth rates. Self-similar but nonstationary Gaussian process approximations are provided for the number of active sou...
• Limit theorems for Mandelbrot's multiplicative cascades AI翻译
  作者：Liu, QS; Rouault, A
  作者单位：Universite de Rennes; Universite Paris Saclay
  摘要：Let W greater than or equal to 0 be a random variable with EW = 1, and let Z((r)) (r greater than or equal to 2) be the limit of a Mandelbrot's martingale, defined as sums of product of independent random weights having the same distribution as W, indexed by nodes of a homogeneous r-ary tree. We study asymptotic properties of Z((r)) as r --> infinity: we obtain a law of large numbers, a central limit theorem, a result for convergence of moment generating functions and a theorem of large deviat...
• Discrete-review policies for scheduling stochastic networks: Trajectory tracking and fluid-scale asymptotic optimality AI翻译
  作者：Maglaras, C
  作者单位：Columbia University
  摘要：This paper describes a general approach for dynamic control of stochastic networks based an fluid model analysis, where in broad terms, the stochastic network is approximated by its fluid analog, an associated fluid control problem is solved and, finally, a scheduling rule for the original system is defined by interpreting the fluid control policy. The main contribution of this paper is to propose a general mechanism for translating the solution of the fluid optimal control problem into an imp...
• Conservative delta hedging AI翻译
  作者：Mykland, PA
  作者单位：University of Chicago
  摘要：It is common to have interval predictions for volatilities and other quantities governing securities prices. The purpose of this paper is to provide an exact method for converting such intervals into arbitrage based prices of financial derivatives or industrial or contractual options. We call this procedure conservative delta hedging. The proposed approach will permit an institution's management a greater oversight of its exposure to risk.