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作者：Benois, O.
作者单位：Universite de Rouen Normandie; Centre National de la Recherche Scientifique (CNRS)
摘要：We prove a large deviation principle for the density field of independent particle systems in an infinite volume. We then deduce from the one-dimensional case of this result the large deviations for the occupation times of various sets (from microscopic to macroscopic scales) and we recover the theorem established by Cox and Griffeath. An expression of the rate function is given using the Brownian motion local time as in Deuschel and Wang.
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作者：Fishman, George S.
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：This paper studies several different plans for selecting coordinates for updating via Gibbs sampling. It exploits the inherent features of the Gibbs sampling formulation, most notably its neighborhood structure, to characterize and compare the plans with regard to convergence to equilibrium and variance of the sample mean. Some of the plans rely completely or almost completely on random coordinate selection. Others use completely or almost completely deterministic coordinate selection rules. W...
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作者：Silvestrov, Dmitrii S.
作者单位：Umea University
摘要：Recurrence relations and upper bounds are obtained for power moments of generalized hitting times for semi-Markov processes. General necessary and sufficient conditions for the existence of these moments are also found. Applications to hitting times for semi-Markov dynamical systems of linear type, semi-Markov random walks, diffusion processes and queuing systems are discussed.
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作者：Pacheco, Antonio; Prabhu, N. U.
作者单位：Universidade de Lisboa; Cornell University
摘要：We investigate a storage model where the input and the demand are additive functionals on a Markov chain J. The storage policy is to meet the largest possible portion of the demand. We first derive results for the net input process embedded at the epochs of transitions of J, which is a Markov random walk. Our analysis is based on a Wiener-Hopf factorization for this random walk; this also gives results for the busy period of the storage process. The properties of the storage level and the unsa...
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作者：Kwiecinski, Andrzej; Szekli, Ryszard
作者单位：University of Hamburg; University of Wroclaw
摘要：Point processes on the positive real axis which are positively self-exciting in a sense expressed by their martingale dynamics are studied in this paper. It is shown that such processes can be realized as increasing mappings of Poisson processes and are therefore associated in appropriate manners. Some examples are presented, including Hawkes, renewal, Polya-Lundberg, Markov dependent, semi-Markov, in addition to other point processes. As corollaries an extension of theBurton-Waymire associati...
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作者：Malyshev, Vadim A.; Yakovlev, Andrei V.
作者单位：Inria; Universite de Orleans
摘要：We consider finite closed Jackson networks with N first come, first serve nodes and M customers. In the limit M ->infinity, N -> infinity, M/N -> lambda > 0, we get conditions when mean queue lengths are uniformly bounded and when there exists a node where the mean queue length tends to infinity under the above limit (condensation phenomena, traffic jams), in terms of the limit distribution of the relative utilizations of the nodes. In the same terms, we also derive asymptotics of the partitio...
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作者：Feigin, Paul D.; Kratz, Marie F.; Resnick, Sidney I.
作者单位：Technion Israel Institute of Technology; Cornell University
摘要：This paper continues the study of time series models generated by nonnegative innovations which was begun by Feigin and Resnick. We concentrate on moving average processes. Estimators for moving average coefficients are proposed and consistency and asymptotic distributions established for the case of an order-one moving average assuming either the right or the left tail of the innovation distribution is regularly varying. The rate of convergence can be superior to that of the Yule-Walker or ma...
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作者：Karatzas, I.; Kou, S. G.
作者单位：Columbia University; Rutgers University System; Rutgers University New Brunswick
摘要：We discuss the problem of pricing contingent claims, such as European call options, based on the fundamental principle of absence of arbitrage and in the presence of constraints on portfolio choice, for example, incomplete markets and markets with short-selling constraints. Under such constraints, we show that there exists an arbitrage-free interval which contains the celebrated Black-Scholes price (corresponding to the unconstrained case); no price in the interior of this interval permits arb...
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作者：Holst, L.; Quine, M. P.; Robinson, J.
作者单位：Royal Institute of Technology; University of Sydney
摘要：The model considered here has arisen in a number of completely separate contexts: release of neurotransmitter at neuromuscular synapses, unravelling of strands of DNA, differentiation of cells into heterocysts in algae and growth of crystals. After a shear transformation the model becomes a Markov process, based on a Poisson process on the upper half plane, homogeneous in the horizontal (time) direction, which increases at unit rate except for occasional drops. By considering the process separ...
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作者：Brown, Timothy C.; Greig, Darryl
作者单位：University of Melbourne
摘要：Monotonicity properties of certain classes of point processes with respect to the Palm measure are exploited to derive upper and lower bounds on the total variation distance away from Poisson of these processes. The results obtained are applied to new better than used and new worse than used renewal processes and to a Cox process with rates given by a two state Markov chain.
