应用概率学信托
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作者:Nicolas Privault
来源:[J].Advances in Applied Probability, 2015, Vol.47 (4), pp.919-933应用概率学信托
摘要:We derive Laplace transform identities for the volume content of randomstopping sets based on Poisson point processes. Our results are based onanticipating Girsanov identities for Poisson point processes under a cyclicvanishing condition for a finite difference gradient. This app...
作者:Aihua Xia , J. E. Yukich
来源:[J].Advances in Applied Probability, 2015, Vol.47 (4), pp.934-972应用概率学信托
摘要:This paper concerns the asymptotic behavior of a random variable W λ resulting from the summation of the functionals ofa Gibbsian spatial point process over windows Q λ → R d . We establishconditions ensuring that W λ has vol...
作者:Emilie Coupechoux , Marc Lelarge
来源:[J].Advances in Applied Probability, 2015, Vol.47 (4), pp.973-988应用概率学信托
摘要:We consider a threshold epidemic model on a clustered random graph modelobtained from local transformations in an alternating branching process thatapproximates a bipartite graph. In other words, our epidemic model is such thatan individual becomes infected as soon as the proport...
作者:P. Vis , R. Bekker , R. D. van der Mei
来源:[J].Advances in Applied Probability, 2015, Vol.47 (4), pp.989-1014应用概率学信托
摘要:We study cyclic polling models with exhaustive service at each queue under avariety of non-FCFS (first-come-first-served) local service orders, namelylast-come-first-served with and without preemption, random-order-of-service,processor sharing, the multi-class priority sched...
作者:A. B. Dieker , T. Suk
来源:[J].Advances in Applied Probability, 2015, Vol.47 (4), pp.1015-1038应用概率学信托
摘要:We develop diffusion approximations for parallel-queueing systems with the randomized longest-queue-first scheduling (LQF) algorithm by establishing new mean-field limit theorems as the number of buffers n → ∞. We achieve this by allowing the number of sampled buffers d = d ...
作者:Stephen B. Connor , Wilfrid S. Kendall
来源:[J].Advances in Applied Probability, 2015, Vol.47 (4), pp.1039-1063应用概率学信托
摘要:In this paper we describe a perfect simulation algorithm for the stableM/G/ c queue. Sigman (2011) showed how to build a dominatedcoupling-from-the-past algorithm for perfect simulation of the super-stableM/G/ c queue operating under first-come-first-served discipline. Sigma...
作者:Xianping Guo , Xiangxiang Huang , Yonghui Huang
来源:[J].Advances in Applied Probability, 2015, Vol.47 (4), pp.1064-1087应用概率学信托
摘要:In this paper we focus on the finite-horizon optimality for denumerablecontinuous-time Markov decision processes, in which the transition andreward/cost rates are allowed to be unbounded, and the optimality is over theclass of all randomized history-dependent policies. Under...
作者:H. Blok , F. M. Spieksma
来源:[J].Advances in Applied Probability, 2015, Vol.47 (4), pp.1088-1107应用概率学信托
摘要:This paper considers Markov decision processes (MDPs) with unbounded rates, asa function of state. We are especially interested in studying structuralproperties of optimal policies and the value function. A common method toderive such properties is by value iteration applied to t...
作者:Claudia Klüppelberg , Muneya Matsui
来源:[J].Advances in Applied Probability, 2015, Vol.47 (4), pp.1108-1131应用概率学信托
摘要:Fractional Lévy processes generalize fractional Brownian motion in anatural way. We go a step further and extend the usual fractionalRiemann-Liouville kernel to a regularly varying function. We call the resultingstochastic processes generalized fractional Lévy processes (GFL...
作者:Grigori N. Milstein , John Schoenmakers
来源:[J].Advances in Applied Probability, 2015, Vol.47 (4), pp.1132-1156应用概率学信托
摘要:The Doss-Sussmann (DS) approach is used for uniform simulation of theCox-Ingersoll-Ross (CIR) process. The DS formalism allows us to expresstrajectories of the CIR process through solutions of some ordinary differentialequation (ODE) depending on realizations of a Wiener process ...

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