The Annals of Applied Probability

最新文章

• MULTIVARIATE INTEGRATION AND APPROXIMATION FOR RANDOM FIELDS SATISFYING SACKS-YLVISAKER CONDITIONS AI翻译
  作者：Ritter, Klaus; Wasilkowski, Grzegorz W.; Wozniakowski, Henryk
  作者单位：University of Erlangen Nuremberg; University of Kentucky; Columbia University
  摘要：We present sharp bounds on the minimal errors of linear estimators for multivariate integration and L-2-approximation. This is done for a random field whose covariance kernel is a tensor product of one-dimensional kernels that satisfy the Sacks-Ylvisaker regularity conditions.
• STEPPING-STONE MODELS WITH EXTINCTION AND RECOLONIZATION AI翻译
  作者：Kang, Hyun-Chung; Krone, Stephen M.; Neuhauser, Claudia
  作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Wisconsin System; University of Wisconsin Madison
  摘要：The stepping-stone model is widely used in population genetics to describe the evolution of a population with mating and geographical structure. It is typically formulated on a countable set, where each element of the set corresponds to a colony. Each colony consists of a population of a fixed number of haploid individuals. Individuals undergo random mating within each colony and migrate to neighboring colonies. In the model considered here, we are interested in the changes that may occur at a...
• CONSISTENCY OF THE MAXIMUM PSEUDO-LIKELIHOOD ESTIMATOR OF CONTINUOUS STATE SPACE GIBBSIAN PROCESSES AI翻译
  作者：Mase, Shigeru
  作者单位：Hiroshima University
  摘要：The purpose of this paper is to show the strong consistency of the maximum pseudo-likelihood estimator for continuous state space stationary Gibbsian processes under fairly general conditions. Besides the maximum pseudo-likelihood estimator of Besag, we consider its extension, the maximum pseudo-likelihood of second order. The framework of our study is Ruelle's theory of superstable potential functions.
• THE EXISTENCE OF ABSOLUTELY CONTINUOUS LOCAL MARTINGALE MEASURES AI翻译
  作者：Delbaen, Freddy; Schachermayer, Walter
  作者单位：Vrije Universiteit Brussel; University of Vienna
  摘要：We investigate the existence of an absolutely continuous martingale measure. For continuous processes we show that the absence of arbitrage for general admissible integrands implies the existence of an absolutely continuous (not necessarily equivalent) local martingale measure. We also rephrase Radon-Nikodym theorems for predictable processes.
• PROBABILISTIC ANALYSIS OF AN ALGORITHM IN THE THEORY OF MARKETS IN INDIVISIBLE GOODS AI翻译
  作者：Frieze, Alan; Pittel, Boris G.
  作者单位：Carnegie Mellon University; University System of Ohio; Ohio State University
  摘要：A model of commodity trading consists of n traders, each bringing to the market his own individual good and each having his own preference for the goods on the market. The trade results in a so-called core allocation, that is, an exchange of goods which cannot be destabilized by a coalition of traders. Shapley and Scarf, who proposed the model, proved the existence of such an exchange by means of an algorithm invented by Gale. The algorithm determines sequentially a cyclic decomposition of the...
• EMPIRICAL SPECTRAL PROCESSES AND THEIR APPLICATIONS TO STATIONARY POINT PROCESSES AI翻译
  作者：Eichler, Michael
  作者单位：Ruprecht Karls University Heidelberg
  摘要：We consider empirical spectral processes indexed by classes of functions for the case of stationary point processes. Conditions for the measurability and equicontinuity of these processes and a weak convergence result are established. The results can be applied to the spectral analysis of point processes. In particular, we discuss the application to parametric and nonparametric spectral density estimation.
• IMPULSE CONTROL OF PIECEWISE DETERMINISTIC MARKOV PROCESSES AI翻译
  作者：Dempster, M. A. H.; Ye, J. J.
  作者单位：University of Essex; Dalhousie University; University of Victoria
  摘要：This paper concerns the optimal impulse control of piecewise deterministic Markov processes (PDPs). The PDP optimal (full) control problem with dynamic control plus impulse control is transformed to an equivalent dynamic control problem. The existence of an optimal full control and a generalized Bellman-Hamilton-Jacobi necessary and sufficient optimality condition for the PDP full control problem in terms of the value function for the new dynamic control problem are derived. It is shown that t...
• THE HAZARD RATE TANGENT APPROXIMATION FOR BOUNDARY HITTING TIMES AI翻译
  作者：Roberts, G. O.; Shortland, C. F.
  作者单位：University of Cambridge
  摘要：We consider the problem of estimating first exit distributions for one-dimensional diffusion processes. We provide analytic bounds and an approximation which is shown to be accurate in a range of numerical examples involving Brownian motion.
• STOCHASTIC MODELS OF HOST-MACROPARASITE INTERACTION AI翻译
  作者：Isham, Valerie
  作者单位：University of London; University College London
  摘要：The interactions between macroparasites and their hosts, in terms of parasite-induced acquired immunity and additional mortality of the host, are of considerable interest and importance. In this paper, a simple nonlinear stochastic model for the parasite load within a single host over the lifetime of the host is investigated. By concentrating on a model incorporating only parasite-induced excess host mortality, exact algebraic results are possible, which provide insight into the effects of thi...
• ON THE MARKOV CHAIN FOR THE MOVE-TO-ROOT RULE FOR BINARY SEARCH TREES AI翻译
  作者：Dobrow, Robert P.; Fill, James Allen
  作者单位：Johns Hopkins University; National Institute of Standards & Technology (NIST) - USA
  摘要：The move-to-root (MTR) heuristic is a self-organizing rule that attempts to keep a binary search tree in near-optimal form. It is a tree analogue of the move-to-front (MTF) scheme for self-organizing lists. Both heuristics can be modeled as Markov chains. We show that the MTR chain can be derived by lumping the MTF chain and give exact formulas for the transition probabilities and stationary distribution for MTR. We also derive the eigenvalues and their multiplicities for MTR.