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作者：Sigman, Karl; Yao, David D.
作者单位：Columbia University
摘要：We study a continuous time inventory process that is a reflection mapping of a semimartingale netput process. Inventory processes of this type include the workload process in queues, dam and storage processes (with perhaps pure jump Levy input), as well as processes arising in fluid models. We establish sufficient conditions on the netput ensuring that the steady-state inventory has finite moments of order k 1, and derive explicit bounds for these moments. The sufficient conditions require tha...
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作者：Gandolfi, Alberto; Kesten, Harry
作者单位：University of California System; University of California Berkeley; Cornell University
摘要：Let {X-v: v is an element of Z(d)} be i.i.d. positive random variables and define M-n = max{Sigma X-v is an element of pi(v) : pi a self-avoiding path of length n starting at the origin}, N-n = max{Sigma(v is an element of xi) X-v: xi a lattice animal of size n containing the origin}. In a preceding paper it was shown that if E{X-0(d)(log+ X-0)(d+a)) < infinity for some a > 0, then there exists some constant C such that w.p.1, 0 <= M-n <= N-n <= Cn for all large n. In this part we improve this...
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作者：Meyn, Sean P.; Tweedie, R. L.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Colorado State University System; Colorado State University Fort Collins
摘要：The standard Foster-Lyapunov approach to establishing recurrence and ergodicity of Markov chains requires that the one-step mean drift of the chain be negative outside some appropriately finite set. Malyshev and Men'sikov developed a refinement of this approach for countable state space chains, allowing the drift to be negative after a number of steps depending on the starting state. We show that these countable space results are special cases of those in the wider context of phi-irreducible c...
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作者：Clouet, J. F.; Fouque, J. P.
作者单位：Institut Polytechnique de Paris; Ecole Polytechnique; ENSTA Paris
摘要：This paper investigates the deformation of an acoustic pulse travelling in a slab of random medium when its width is large compared to the size of the random inhomogeneities of the medium. A limit theorem is shown that explains how the shape of the transmitted pulse can be obtained as a result of a deterministic Gaussian convolution of the initial pulse. Since the random fluctuations are not supposed to be small, this gives a new rigorous formulation of the O'Doherty-Anstey result, which is we...
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作者：Miltersen, Kristian R.
作者单位：University of Southern Denmark
摘要：In the setting of the Heath-Jarrow-Morton model, this paper presents sufficient conditions to assure that the stochastic forward rates are strictly positive while maintaining the martingale property of the discounted bond price processes in the case where the stochastic forward rates are described as stochastic differential equations with explicitly state dependent stochastic volatility. Moreover, the stochastic development of the term structure of interest rates is generalized to be described...
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作者：Nguyen, Vien
作者单位：Massachusetts Institute of Technology (MIT)
摘要：Consider a feedforward network of single-server stations populated by multiple job types. Each job requires the completion of a number of tasks whose order of execution is determined by a set of deterministic precedence constraints. The precedence requirements allow some tasks to be done in parallel (in which case tasks would fork) and require that others be processed sequentially (where tasks may join). Jobs of a given type share the same precedence constraints, interarrival time distribution...
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作者：Klebaner, Fima C.; Zeitouni, Ofer
作者单位：University of Melbourne; Technion Israel Institute of Technology
摘要：The influence of noise on a class of discrete time systems arising from models of density-dependent branching processes is investigated. By considering iterates of the basic map, the time to escape from a stable orbit is investigated as a (nonstandard) problem of exit from a domain.
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作者：Serinko, Regis J.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：A new approach to the least squares procedure for correlation dimension estimation is suggested. Consistency of the new estimator is established for a class of dynamical systems that includes the Cantor map and the logistic map with parameter value 4. Unlike the proofs of consistency for other estimation procedures, no assumptions are made about the Grassberger-Procaccia spatial correlation integral beyond the existence of the correlation dimension.
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作者：Bramson, Maury
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：A class of open first-in, first-out queueing networks is examined. Customers arrive according to a rate-1 Poisson process and wait at queues along their prescribed routes for exponential holding times, after which they exit from the system. Such a network can be chosen so that the sum of the mean service times at each queue is as small as desired. It is shown here that these networks are nevertheless unstable. Each such network will possess two customer types, which proceed along nearly parall...
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作者：Meester, Ronald; Roy, Rahul
作者单位：Utrecht University; Indian Statistical Institute; Indian Statistical Institute Delhi
摘要：We consider Boolean models in d-dimensional Euclidean space. Each point of a stationary, ergodic point process is the center of a ball with random radius. In this way, the space is partitioned into an occupied and a vacant region. We are interested in the number of unbounded occupied or vacant components that can coexist. We show that under very general conditions on the distribution of the radius random variable, there can be at most one unbounded component of each type. In case the point pro...
