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作者：Rogers, L. C. G.
作者单位：University of London; Queen Mary University London
摘要：This paper applies the earlier work of Barlow, Rogers and Williams on the Wiener Hopf factorization of finite Markov chains to a number of questions in the theory of fluid models of queues. Specifically, the invariant distribution for an infinite-buffer model and for a finite-buffer model are derived. The laws of other functionals of the fluid models can be easily derived and compactly expressed in terms of the fundamental Wiener Hopf factorization.
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作者：Cohn, Harry; Jagers, Peter
作者单位：University of Melbourne; Chalmers University of Technology; University of Gothenburg
摘要：A conditioning and martingale method is used to relate the asymptotics of uniformly integrable general branching processes in varying environment to the behaviour of their expectations.
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作者：Shreve, S. E.; Soner, H. M.
作者单位：Carnegie Mellon University
摘要：A complete solution is provided to the infinite-horizon, discounted problem of optimal consumption and investment in a market with one stock, one money market (sometimes called a bond) and proportional transaction costs. The utility function may be of the form c(p)/p, where p < 0 or 0 < p < 1, or may be log c. It is assumed that the interest rate for the money market is positive, the mean rate of return for the stock is larger than this interest rate, the stock volatility is positive and all t...
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作者：Dai, J. G.; Vien Nguyen
作者单位：University System of Georgia; Georgia Institute of Technology; Massachusetts Institute of Technology (MIT)
摘要：The subject of this paper is the heavy traffic behavior of a general class of queueing networks with first-in first-out (FIFO) service discipline. For special cases that require various assumptions on the network structure, several authors have proved heavy traffic limit theorems to justify the approximation of queueing networks by reflecting Brownian motions. Based on these theorems, some have conjectured that the Brownian approximation may in fact be valid for a more general class of queuein...
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作者：Chang, Joseph T.
作者单位：Yale University
摘要：Let X-1, X-2, ... be independent and identically distributed positive random variables with S-n = X-1 + ... +X-n, and for nonnegative b define R-b = inf{S-n - b: S-n > b}. Then R-b is called the overshoot at b. In terms of the moments of X-1, Lorden gave bounds for the moments of R-b that hold uniformly over all b. Using a coupling argument, we establish stochastic ordering inequalities that imply the moment inequalities of Lorden. In addition to simple new proofs of Lorden's inequalities, we ...
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作者：Tsitsiklis, John N.
作者单位：Massachusetts Institute of Technology (MIT)
摘要：We provide a short and elementary proof of the Gittins index theorem for the multi armed bandit problem, for the case where each bandit is modeled as a finite-state semi-Markov process. We also indicate how this proof can be extended to the branching bandits and Klimov problems.
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作者：Frieze, Alan; Kannan, Ravi; Polson, Nick
作者单位：Carnegie Mellon University; Telcordia Technologies; Carnegie Mellon University; University of Chicago
摘要：We consider the problem of sampling according to a distribution with log-concave density F over a convex body K subset of R-n. The sampling is dine using a biased random walk, and polynomial upper bounds on the time to get a sample point with disribution close to F.
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作者：Dembo, Amir; Karlin, Samuel; Zeitouni, Ofer
作者单位：Stanford University; Stanford University; Technion Israel Institute of Technology
摘要：Three results on hitting a rare set by the increments of an R-d-valued random process with stationary independent increments are presented: the first time that it occurs, the duration of such a segment and the typical trajectory during the segment.
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作者：Bramson, Maury
作者单位：University of Wisconsin System; University of Wisconsin Madison
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作者：Ferrari, P. A.; Fontes, L. R. G.
作者单位：Universidade de Sao Paulo
摘要：We study a system of infinitely many queues with Poisson arrivals and exponential service times. Let the net output process be the difference between the departure process and the arrival process. We impose certain ergodicity conditions on the underlying Markov chain governing the customer path. These conditions imply the existence of an invariant measure under which the average net output process is positive and proportional to the time. Starting the system with that measure, we prove that th...
