The Annals of Applied Probability

最新文章

• Nonreversible stationary measures for exchange processes AI翻译
  作者：Asselah, A
  作者单位：Swiss Federal Institutes of Technology Domain; ETH Zurich
  摘要：We consider nonreversible exchange dynamics in Z(d) and prove that the stationary, translation invariant measures satisfy the following property: if one of them is a Gibbs measure with a summable potential {J(R), R subset of Z(d)}, then all of them are convex combinations of Gibbs measures with the same potential, but different chemical potentials J({0}).
• The load transfer model AI翻译
  作者：Beguin, M; Gray, L; Ycart, B
  作者单位：Communaute Universite Grenoble Alpes; Universite Grenoble Alpes (UGA); University of Minnesota System; University of Minnesota Twin Cities
  摘要：An interacting particle model for load transferring in parallel architectures is defined. In the case of an infinite lattice the model is proved to be ergodic and to converge exponentially fast to its equilibrium. When the architecture is that of a complete graph, the total number of loads behaves as a birth and death process, and explicit upper bounds on the benefits that can be expected from a transferring policy are derived. Experimental results for different types of architectures are pres...
• Two convergence properties of hybrid samplers AI翻译
  作者：Roberts, GO; Rosenthal, JS
  作者单位：University of Cambridge; University of Toronto
  摘要：Theoretical work on Markov chain Monte Carlo (MCMC) algorithms has so far mainly concentrated on the properties of simple algorithms, such as the Gibbs sampler, or the full-dimensional Hastings-Metropolis algorithm. In practice, these simple algorithms are used as building blocks for more sophisticated methods, which we shall refer to as hybrid samplers. It is often hoped that good convergence properties (e.g., geometric ergodicity, etc.) of the building blocks will imply similar properties of...
• Tail index estimation for dependent data AI翻译
  作者：Resnick, S; Starica, C
  作者单位：Cornell University; University of Pennsylvania
  摘要：A popular estimator of the index of regular variation in heavy-tailed models is Hill's estimator. We discuss the consistency of estimator when it is applied to certain classes of heavy-tailed stationary processes. One class of processes discussed consists of processes which can be appropriately approximated by sequences of m-dependent, random variables and special cases of our results show the consistency of Hill's estimator for (i) infinite moving averages with heavy-tail innovations, (ii) a ...
• Scaling laws and convergence for the advection-diffusion equation AI翻译
  作者：Gaudron, G
  作者单位：Aix-Marseille Universite; Inria
  摘要：In this paper we study the convergence of stochastic processes related to a random partial differential equation (PDE with random coefficients) of heat equation propagation type in a Kolmogorov's random velocity field. Then we are able to improve the results of Avellanda and Majda in the case of shear-flow advection-diffusion because we prove a convergence in law of the solution of the RPDE instead of just convergence of the moments.
• Large deviations of combinatorial distributions II. Local limit theorems AI翻译
  作者：Hwang, HK
  作者单位：Academia Sinica - Taiwan
  摘要：We derive a general local limit theorem for probabilities of large deviations for a sequence of random variables by means of the saddlepoint method on Laplace-type integrals. This result is applicable to parameters in a number of combinatorial structures and the distribution of additive arithmetical functions.
• Option replication with transaction costs: General diffusion limits AI翻译
  作者：Ahn, H; Dayal, M; Grannan, E; Swindle, G
  作者单位：University of California System; University of California Santa Barbara
  摘要：Transaction costs preclude the construction of hedging strategies for general contingent claims. Leland introduced the concept of diffusion Limits of hedging strategies in a small transaction cost limit. This paper establishes such diffusion limits for very general hedging strategies and also establishes leading order asymptotic expressions for the replication error. In addition to subsuming previously considered temporal strategies, the results in this paper yield new results, namely expressi...
• The number of winners in a discrete geometrically distributed sample (vol 6, pg 687, 1996) AI翻译
  作者：Kirschenhofer, P; Prodinger, H
  作者单位：University of Leoben; Technische Universitat Wien
• On convergence rates of Gibbs samplers for uniform distributions AI翻译
  作者：Roberts, GO; Rosenthal, JS
  作者单位：University of Cambridge; University of Toronto
  摘要：We consider a Gibbs sampler applied to the uniform distribution on a bounded region R subset of or equal to R-d. We show that the convergence properties of the Gibbs sampler depend greatly on the smoothness of the boundary of R. Indeed, for sufficiently smooth boundaries the sampler is uniformly ergodic, while for jagged boundaries the sampler could fail to even be geometrically ergodic.
• On the distribution of tail array sums for strongly mixing stationary sequences AI翻译
  作者：Rootzen, H; Leadbetter, MR; de Haan, L
  作者单位：Chalmers University of Technology; University of North Carolina; University of North Carolina Chapel Hill; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
  摘要：This paper concerns the asymptotic distributions of tail array sums of the form Sigma psi(n)(X-i - u(n)) where {X-i} is a strongly mixing stationary sequence, psi(n) are real functions which are constant for negative arguments, psi(n)(x) = psi(n)(X+) and {u(n)} are levels with u(n) --> infinity. Compound Poisson limits for rapid convergence of u(n) --> infinity (nP{X-1 > u(n)} --> tau < infinity) are considered briefly and a more detailed account given for normal limits applicable to slower ra...