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作者：Harrison, J. Michael; Van Mieghem, Jan A.
作者单位：Stanford University; Northwestern University
摘要：Brownian networks are a class of linear stochastic control systems that arise as heavy traffic approximations in queueing theory. Such Brownian system models have been used to approximate problems of dynamic routing, dynamic sequencing and dynamic input control for queueing networks. A number of specific examples have been analyzed in recent years, and in each case the Brownian network has been successfully reduced to an equivalent workload formulation of lower dimension. In this article we ex...
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作者：de Lima, A. C. Pedroso; Sen, Pranab K.
作者单位：Universidade de Sao Paulo; University of North Carolina; University of North Carolina Chapel Hill
摘要：A matrix-valued counting process that allows for modeling of multi-variate failure-time data is presented. the inclusion of covariates in a Cox-type regression model is considered, and asymptotic properties of the estimates of regression parameters appearing in the model are studied.
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作者：Levental, Shlomo; Skorohod, Anatolii V.
作者单位：Michigan State University
摘要：We study the continuous-time problem of hedging a generalized call option of the European and of the American type, in the presence of transaction costs. We show that if the price process of the relevant stock fluctuates with positive probability, then the only hedge that is possible for the American option is the trivial one. If the price of the stock, in addition to fluctuating with positive probability, is also stable with positive probability, then the same is true for the European option....
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作者：Rothmann, Mark D.; Russo, Ralph P.
作者单位：University System of Georgia; Georgia Institute of Technology; University of Iowa
摘要：Consider a system into which units having random magnitude enter at arbitrary times and remain active (present in the system) for random periods. Suppose units of high magnitude have stochastically greater lifetimes ffi tend to stay active for longer periods. than units of low magnitude. Of interest is the process {mu(t): t >= 0}, where mu(t) denotes the average magnitude of all units active at time t. We give conditions which guarantee the convergence of mu(t) and we determine the form of the...
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作者：Marquez, David
作者单位：University of Central Venezuela; Universite Gustave-Eiffel
摘要：We consider the annealing diffusion process and investigate convergence rates. Namely, for the diffusion dX(t) = -del V(X-f)dt + sigma(t)dB(f), where (B-f)(l) <= 0 is the sigma(t) dimensional Brownian motion and cr(t) decreases to zero, we prove a large deviation principle for (V(X-t)) and weak convergence of(sigma(-2)(t)(V(X-f) - inf V)).
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作者：Seppalainen, Timo
作者单位：Iowa State University
摘要：In 1977 Vershik and Kerov deduced the asymptotic normalized length of the longest increasing sequence among independent points uniformly distributed on the unit square. We solve the analogous problem for points on the planar square lattice that are present independently of each other.
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作者：Jagers, Peter
作者单位：Chalmers University of Technology; University of Gothenburg
摘要：Consider supercritical general branching processes, where, however, individual reproduction may be influenced by the history of the population, in particular by the total population size. Assume that reproductions approach those of a classical, possibly multitype, supercritical process either from above or from below as the population grows. Conditions are established for the population-history dependent populations to display balanced exponential growth with the same Malthusian parameter as t...
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作者：Puhalskii, Anatolii A.; Whitt, Ward
作者单位：Nokia Corporation; Nokia Bell Labs; AT&T
摘要：We apply an extended contraction principle and superexponential convergence in probability to show that a functional large deviation principle for a sequence of stochastic processes implies a corresponding functional large deviation principle for an associated sequence of first-passage-time or inverse processes. Large deviation principles are established for both inverse processes and centered inverse processes, based on corresponding results for the original process. We apply these results to...
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作者：Stadje, Wolfgang
作者单位：University Osnabruck
摘要：This paper is concerned with Markov chain models for flows of a finite population among a set of groups, where the individuals base their decisions on which group to go next partially on the current frequency distribution (profile). For a certain class of these models, the transition matrix of the profile process is analyzed algebraically, leading to surprisingly simple asymptotic results. Furthermore, in a model with after effects, the absorption probabilities are derived.
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作者：Chiu, S. N.; Quine, M. P.
作者单位：Hong Kong Baptist University; University of Sydney
摘要：A Poisson point process Psi in d-dimensional Euclidean space and in time is used to generate a birth-growth model: seeds are born randomly at locations x(i) in R-d at times t(i) is an element of [0, infinity). Once a seed is born, it begins to create a cell by growing radially in all directions with speed nu > 0. Points of Psi contained in such cells are discarded, that is, thinned. We study the asymptotic distribution of the number of seeds in a region, as the volume of the region tends to in...
