The Annals of Applied Probability

最新文章

• A stable queueing network with unstable fluid model AI翻译
  作者：Bramson, M
  作者单位：University of Minnesota System; University of Minnesota Twin Cities
  摘要：Fluid models have become a standard tool for demonstrating stability for queueing networks. It is presently not known, however, when the stability of a fluid model follows from that of the corresponding queueing network. We present an example of a queueing network where such stability does not, in fact, follow This example also shows that the behavior of the fluid limits and the fluid model solutions for the same queueing network can differ considerably from one another.
• How system performance is affected by the interplay of averages in a fluid queue with long range dependence induced by heavy tails AI翻译
  作者：Heath, D; Resnick, S; Samorodnitsky, G
  作者单位：Cornell University
  摘要：We consider a fluid queue with sessions arriving according to a Poisson process. A long-tailed distribution of session lengths induces long range dependence in the system and causes its performance to deteriorate. The deterioration is due to occurrence of load regimes far from average ones. Nonetheless, the extent of this performance deterioration is shown to depend crucially on the average values of the system parameters.
• Asymptotics for the length of a minimal triangulation on a random sample AI翻译
  作者：Yukich, JE
  作者单位：Lehigh University
  摘要：Given F subset of [0, 1](2) and finite, let a(F) denote the length of the minimal Steiner triangulation of points in F. By showing that minimal Steiner triangulations fit into the theory of subadditive and superadditive Euclidean functionals, we prove under a mild regularity condition that lim(n --> infinity) sigma(X-1..., X-n)/n(1/2) = beta integral([0, 1]2)f(x)(1/2) DX c.c., where X-1,...,X-n are i.i.d. random variables with values in [0, 1](2), beta is a positive constant, f is the density ...
• Turbulent diffusion in Markovian flows AI翻译
  作者：Fannjiang, A; Komorowski, T
  作者单位：University of California System; University of California Davis; Swiss Federal Institutes of Technology Domain; ETH Zurich
  摘要：We prove turbulent diffusion theorems for Markovian velocity fields which either are mixing in time or have stationary vector potentials.
• The asymptotics of waiting times between stationary processes, allowing distortion AI翻译
  作者：Dembo, A; Kontoyiannis, I
  作者单位：Stanford University; Purdue University System; Purdue University
  摘要：Given two independent realizations of the stationary processes X = {X-n;n greater than or equal to 1} and Y = {Y-n; n greater than or equal to 1}, our main quantity of interest is the waiting time W-n(D) until a D-close version of the initial string (X-1, X-2,...,X-n) first appears as a contiguous substring in (Y-1, Y-2, Y-3,...), where closeness is measured with respect to some average distortion criterion. We study the asymptotics of W-n(D) for large n under various mixing conditions on X an...
• Stochastic approximation algorithms with constant step size whose average is cooperative AI翻译
  作者：Benaïm, M; Hirsch, MW
  作者单位：Universite de Toulouse; Universite Toulouse III - Paul Sabatier; University of California System; University of California Berkeley
  摘要：We consider stochastic approximation algorithms with constant step size whose average ordinary differential equation (ODE) is cooperative and irreducible. We show that, under mild conditions on the noise process, invariant measures and empirical occupations measures of the process weakly converge (as the time goes to infinity and the step size goes to zero) toward measures which are supported by stable equilibria of the ODE. These results are applied to analyzing the long-term behavior of a cl...
• Pricing contingent claims on stocks driven by Levy processes AI翻译
  作者：Chan, T
  作者单位：Heriot Watt University
  摘要：We consider the problem of pricing contingent claims on a stock whose price process is modelled by a geometric Levy process, in exact analogy with the ubiquitous geometric Brownian motion model. Because the noise process has jumps of random sizes, such a market is incomplete and there is not a unique equivalent martingale measure. We study several approaches to pricing options which all make use of an equivalent martingale measure that is in different respects closest to the underlying canonic...
• Large deviations and Young measures for a Poissonian model of biphased material AI翻译
  作者：Piau, D
  作者单位：Universite Claude Bernard Lyon 1
  摘要：We prove a large deviations principle for the Young measures of a stochastic homogenization model of Poissonian biphased material.
• Poisson approximation in connection with clustering of random points AI翻译
  作者：Månsson, M
  作者单位：Chalmers University of Technology
  摘要：Let n particles be independently and uniformly distributed in a rectangle A subset of R-2. Each subset consisting of k less than or equal to n particles may possibly aggregate in such a way that it is covered by some translate of a given convex set C subset of k The number of h-subsets which actually are covered by translates of C is denoted by W. The positions of such subsets constitute a point process on k Each point of this process can be marked with the smallest necessary size of a set, of...
• Heavy traffic analysis of a system with parallel servers: Asymptotic optimality of discrete-review policies AI翻译
  作者：Harrison, JM
  作者单位：Stanford University
  摘要：This paper is concerned with dynamic scheduling in a queueing system that has two independent Poisson input streams, two servers, deterministic service times and Linear holding costs. One server can process both classes of incoming jobs, but the other can process only one class, and the service time for the shared job class is different depending on which server is involved. A bound on system performance is developed in terms of a single pooled resource, or super-server, whose capabilities com...