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作者：Foss, Serguei; Last, Guenter
作者单位：Novosibirsk State University; Braunschweig University of Technology
摘要：We consider a polling system with a finite number of stations fed by compound Poisson arrival streams of customers asking for service. A server travels through the system and upon arrival at a station the server serves all waiting customers until the queue is empty, where the service time distribution depends on the station. The choice of the station to be visited next as well as the corresponding walking time may depend on the whole current state. Examples are systems with a greedy-type routi...
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作者：Kluppelberg, Claudia; Mikosch, Thomas
作者单位：Johannes Gutenberg University of Mainz; University of Groningen
摘要：Functionals of a two-parameter integrated periodogram have been used for detecting a change in the spectral distribution of a stationary sequence. The bases for these results are functional central limit theorems for the integrated periodogram with a Gaussian limit field. We prove functional central limit theorems for a general linear sequence having a finite fourth moment which is shown to be the optimal moment condition. Our approach is via an approximation of the integrated periodogram by a...
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作者：Miclo, Laurent
作者单位：Universite de Toulouse; Universite Toulouse III - Paul Sabatier; Centre National de la Recherche Scientifique (CNRS)
摘要：Let (X-(t))(t >= 0) be a family of inhomogeneous Markov processes on a fi nite set M, whose jump intensities at the time s >= 0 are given by exp (-beta((t))(s) V(x, y))q(x, y) for all x not equal y epsilon M, where the evolutions of the inverse of the temperature R-1 Sic s bar right arrow beta((t))(s) epsilon R-1 take in some ways greater and greater values with t. We study by using semigroup techniques the asymptotic behavior of the couple consisting of the renormalized exit time and exit pos...
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作者：Cerf, Raphael
作者单位：Universite Paris Saclay; Centre National de la Recherche Scientifique (CNRS)
摘要：Here is a new genetic algorithm. It is built by randomly perturbing a two operator crossover-selection scheme. Three conditions of biological relevance are imposed on the crossover. A new selection mechanism is used, which has the decisive advantage of preserving the diversity of the individuals in the population. The attractors of the unperturbed process are particular equi fitness subsets of populations endowed with a rich structure. The random vanishing perturbations are twofold: local pert...
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作者：Hsing, Tailen; Husler, Jurg; Reiss, Rolf-Dieter
作者单位：Texas A&M University System; Texas A&M University College Station; University of Bern; Universitat Siegen
摘要：Consider a triangular array of stationary normal random variables {xi(n,i), i >= 0, n >= 1} such that {xi(n,i), i >= 0} is a stationary normal sequence for each n >= 1. Let p(n,j) = corrq{xi(n,i), xi(n,i), (i + j) ). We show that if (1 - p(n),(j))log n -> delta(j) is an element of (0, infinity) as n -> infinity for some j, then the locations where the extreme values occur cluster, and if p(n,j) tends to 0 fast enough as j -> infinity for fixed n, then {xi(n,i), i >= 0} satisfies a certain weak...
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作者：Fox, Bennett L.; Heine, George W.
作者单位：University of Colorado System; University of Colorado Denver
摘要：Consider a time-inhomogeneous Markov chain which converges in probability to a subset S-0 of its state space. Override the standard move mechanism up to a random transition time, almost surely finite, but not necessarily a stopping time. Under weak conditions, the modified process converges in probability to the same set S-0. Two examples of independent interest illustrate this result.
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作者：Reinert, Gesine
作者单位：University of Southern California
摘要：Generalizing Sellke's construction, a general stochastic epidemic with non-Markovian transition behavior is considered. At time t = 0, the population of total size K consists of aK individuals that are infected by a certain disease (and infectious); the remaining bK individuals are susceptible with respect to that disease. An initially susceptible individual i, when infected (call A(i)(K) its time of infection), stays infectious for a period of length r(i), until it is removed. An initially in...
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作者：Soner, H. M.; Shreve, S. E.; Cvitanic, J.
作者单位：Carnegie Mellon University
摘要：Conventional wisdom holds that since continuous-time, Black-Scholes hedging is infinitely expensive in a model with proportional transaction costs, there is no continuous-time strategy which hedges a European call option perfectly. Of course, if one is attempting to dominate the European call rather than replicate it, then one can use the trivial strategy of buying one share of the underlying stock and holding to maturity. In this paper we prove that this is, in fact, the least expensive metho...
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作者：Zhang, Yu
作者单位：University of Colorado System; University of Colorado at Colorado Springs
摘要：We consider a sequence matching problem involving the optimal alignment score for contiguous sequences, rewarding matches by one unit and penalizing for deletions and mismatches by parameters delta and mu, respectively. Let M-n be the optimal score over all possible choices of two contiguous regions. Arratia and Waterman conjectured that, when the score constant a(mu, delta) < 0, P(M-n/log n -> 2b) = 1 for some constant b. Here we prove the conjecture affirmatively.
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作者：Duffie, Darrell; Ma, Jin; Yong, Jiongmin
作者单位：Stanford University; Purdue University System; Purdue University; Fudan University
摘要：This paper confirms a version of a conjecture by Fischer Black regarding consol rate models for the term structure of interest rates. A consol rate model is one in which the stochastic behavior of the short rate is influenced by the consol rate. Since the consol rate is itself determined, via the usual discounted present value formula, by the short rate, such models have an inherent fixed point aspect. Under an equivalent martingale measure, purely technical regularity conditions are given for...
