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作者：Kogan, Y.; Liptser, R.; Shenfild, M.
作者单位：Technion Israel Institute of Technology; Tel Aviv University
摘要：We consider a state-dependent generalization of the exponential Benes model of single-source buffer system in which the source process consists of alternating transmission and idle periods. Martingale methods are applied for analyzing limit nonstationary behavior of the buffer content process, when the buffer is loaded and depleted, with rates proportional to a large parameter N. Depending on traffic conditions, defined by parameters of the model, different types of approximations are establis...
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作者：Levental, Shlomo; Skorohod, Antolii V.
作者单位：Michigan State University
摘要：We characterize absence of arbitrage with tame portfolios in the case of invertible volatility matrix. As a corollary we get that, under a certain condition, absence of arbitrage with tame portfolios is characterized by the existence of the so-called equivalent martingale measure. Without that condition, the existence of equivalent martingale measure is equivalent to absence of approximate arbitrage. The proofs are probabilistic and are based on a construction of two specific arbitrages. Some ...
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作者：Kusuoka, Shigeo
作者单位：University of Tokyo
摘要：Option replication in a discrete-time framework with transaction costs and its limit is discussed. First the notion of an efficient strategy is introduced, and then it is shown that an efficient strategy is the best strategy if it exists. It is also shown that the limit of the cost for option replication is given by a certain formula when the unit of time Delta t tends to zero and the transaction costs tends to zero on the order of root Delta t.
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作者：Fort, Jean-Claude; Pages, Gilles
作者单位：Universite de Lorraine; Sorbonne Universite
摘要：Some existence and stability results for the equilibrium points of the one-dimensional Kohonen self-organizing neural network with two neighbors are extended to most nonincreasing neighborhood functions. All the functions mentioned in the neural literature are included. The assumption on the stimuli distribution is weakened, too. In the multidimensional setting, we derive from a general formula various stability and instability results.
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作者：Csoergo, Sandor; Simons, Gordon
作者单位：University of Michigan System; University of Michigan; University of North Carolina; University of North Carolina Chapel Hill
摘要：Recursive methods are described for computing the frequency and distribution functions of trimmed sums of independent and identically distributed nonnegative integer-valued random variables. Surprisingly, for fixed arguments, these can be evaluated with just a finite number of arithmetic operations (and whatever else it takes to evaluate the common frequency function of the original summands). These methods give rise to very accurate computational algorithms that permit a delicate numerical in...
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作者：Dassios, Angelos
作者单位：University of London; London School Economics & Political Science
摘要：The study of the quantile of a Brownian motion with a drift is undertaken. An explicit formula for its density, as well as a representation of its distribution as the sum of the maximum and the minimum of two resealed independent Brownian motions with drift, is given. The result is used in the pricing of a financial path-dependent option due to Miura.
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作者：Funaki, T.; Surgailis, D.; Woyczynski, W. A.
作者单位：Nagoya University; Vilnius University; University System of Ohio; Case Western Reserve University; University System of Ohio; Case Western Reserve University
摘要：We study the large time behavior of random fields which are solutions of a nonlinear partial differential equation, called Burgers' equation, under stochastic initial conditions. These are assumed to be of the shot noise type with the Gibbs-Cox process driving the spatial distribution of the bumps. In certain cases, this work extends an earlier effort by Surgailis and Woyczynski, where only noninteracting bumps driven by the traditional doubly stochastic Poisson process were considered. In con...
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作者：Bose, A.; Kaj, I.
作者单位：Carleton University; Uppsala University
摘要：We prove a diffusion limit theorem in the sense of weak convergence of measure-valued processes for a population age model first studied by Kendall. We show that in the diffusion limit scaling, the population structured in age groups behaves in the same way as the total population size, but with an exponential weight. A particular feature of the limiting process is that in general it is discontinuous at time zero.
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作者：Rhee, WanSoo T.
作者单位：University System of Ohio; Ohio State University
摘要：We give a unified simple proof of recent results of Alexander concerning the rate of convergence of the mean length of the longest common subsequence of two random sequences and the rate of convergence of the expected value of certain passage times in percolation theory.
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作者：Meyn, Sean P.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper treats transience for queueing network models by considering an associated fluid limit model. If starting from any initial condition the fluid limit model explodes at a linear rate, then the associated queueing network with i.i.d. service times and a renewal arrival process explodes faster than any fractional power.
