-
作者：Yun, S
作者单位：Suwon University
摘要：The paper presents a method of computing the extremal index of a real-valued, higher-order (kth-order, k greater than or equal to 1) stationary Markov chain (X-n). The method is based on the assumption that the joint distribution of k + 1 consecutive variables is in the domain of attraction of some multivariate extreme value distribution. We introduce limiting distributions of some rescaled stationary transition kernels, which are used to define a new (k - 1)th-order Markov chain (Y-n), say. T...
-
作者：Andersson, H
作者单位：Stockholm University
摘要：We consider a simple stochastic discrete-time epidemic model in a large closed homogeneous population that is not necessarily homogeneously mixing. Rather, each individual has a fixed circle of acquaintances and the epidemic spreads along this social network. In case the number of initially infective individuals stays small, a branching process approximation for the number of infectives is in force. Moreover, we provide a deterministic approximation of the bivariate process of susceptible and ...
-
作者：Chiang, TS; Chow, YY
作者单位：Academia Sinica - Taiwan
摘要：For a simulated annealing process X-t on S with transition rates g(ij)(t) = p(ij) exp(-(u(i, j))/T(t)) where i, j is an element of S and T(t) down arrow 0 in a suitable way, we study the exit distribution P-t,P-i(X-tau = a) and mean exit time E-t,E-i(tau) of X-t from a cycle c as t --> infinity. A cycle is a particular subset of S whose precise definition will be given in Section 1. Here tau is the exit time of the process from c containing i and a is an arbitrary state not in c. We consider t...
-
作者：Kaspi, H; Mandelbaum, A
作者单位：Technion Israel Institute of Technology
摘要：We analyze Gittins' Markovian model, as generalized by Varaiya, Walrand and Buyukkoc, in discrete and continuous time. The approach resembles Weber's modification of Whittle's, within the framework, of both multiparameter processes and excursion theory. It is shown that index-priority strategies are optimal, in concert with all the special cases that have been treated previously.
-
作者：Koehler, JR; Puhalskii, AA; Simon, B
作者单位：University of Colorado System; University of Colorado Denver
摘要：Consider a function f: B --> R, where B is a compact subset of Rm and consider a simulation used to estimate f(x), x epsilon B with the following properties: the simulation can switch from, one x epsilon B to another in zero time, and a simulation at x lasting t units of time yields a random variable with mean f(x) and variance nu(x)/t. With such a simulation we can divide T units of time into as many separate simulations as we like. Therefore, in principle we can design an experiment that spe...
-
作者：Fill, JA
作者单位：Johns Hopkins University
摘要：For a large class of examples arising in statistical physics known as attractive spin systems (e.g., the Ising model), one seeks to sample from a probability distribution pi on an enormously large state space, but elementary sampling is ruled out by the infeasibility of calculating an appropriate normalizing constant. The same difficulty arises in computer science problems where one seeks to sample randomly from a large finite distributive lattice whose precise size cannot be ascertained in an...
-
作者：Serfozo, RF; Yang, BY
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：This study introduces a Markov network process called a string-net. Its state is the vector of quantities of customers or units that move among the nodes, and a transition of the network consists of a string of instantaneous Vector increments in the state. The rate of such a string transition is a product of a transition-initiation rate and a string-generation rate. The main result characterizes the stationary distribution of a string-net. Key parameters in this distribution satisfy certain po...
-
作者：Lamberton, D
作者单位：Universite Gustave-Eiffel
摘要：We establish some error estimates for the binomial approximation of American put prices in the Black-Scholes model. Namely, we prove that if P is the American put price and P-n its n-step binomial approximation, there exist positive constants c and C such that -c/n(2/3) less than or equal to P-n-P less than or equal to C/n(3/4). With an additional assumption on the interest rate and the volatility, a better upper bound is derived.
-
作者：Papangelou, F
作者单位：University of Manchester
摘要：The present paper continues the work of two previous papers on the variational behavior, over a large number of generations, of a Wright-Fisher process modelling an even larger reproducing population. It was shown that a Wright-Fisher process subject to random drift and one-way mutation which undergoes a large deviation follows with near certainty a path which can be a trigonometric, exponential, hyperbolic or parabolic function. Here it is shown that a process subject to random drift and game...
-
作者：Weerasinghe, APN
作者单位：Iowa State University
摘要：We study an investment decision problem for an investor who has available a risk-free asset (such as a bank account) and a chosen risky asset. It is assumed that the interest rate for the risk-free asset is zero. The amount invested in the risky asset is given by an It (o) over cap process with infinitesimal parameters mu(.) and sigma(.), which come from a control set. This control set depends on the investor's wealth in the risky asset. The wealth can be transferred between the two assets and...
