71 research outputs found
Homogeneous Markov chains in compact spaces
For homogeneous Markov chains in a compact and locally compact spaces, the ergodic properties are investigated, using the notions of topological recurrence and connections
Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
We prove an existence and uniqueness theorem for solutions of
multidimensional, time dependent, stochastic differential equations driven
simultaneously by a multidimensional fractional Brownian motion with Hurst
parameter H>1/2 and a multidimensional standard Brownian motion. The proof
relies on some a priori estimates, which are obtained using the methods of
fractional integration, and the classical Ito stochastic calculus. The
existence result is based on the Yamada-Watanabe theorem.Comment: 21 page
Geographic and chronographic variations of coloration in population of Polistes gallicus (Linnaeus, 1767) (Hymenoptera, Vespidae)
The article presents the results of studying
geographic and chronographic colour variability of paper
wasp Polistes gallicus (Linnaeus, 1767) in Kherson Area of
Ukraine in 2004-2005.
Colour and pattern variations on clypeus (6), mesonotum
(3), the first tergite of abdomen (4) and the second
tergite of abdomen (3) were investigated for 1839 wasps
(queens and future foundresses).
Colour and pattern variations on clypeus and mesonotum
of 255 queens collected in May-June 2005 in three
places of the Kherson Area (The Black Sea Reserve, Kherson
and Khorly) didn’t differ, but colour variations on the
first tergite of abdomen were significantly different in those
three sites under study.
Variability being of a clinal character, this allowed
making a conclusion that the wasps of these three sites belonged
to one and the same population.
A comparison of colour variation frequencies for the
Black Sea reserve subpopulation throughout 2004-2005 revealed
similarity in clypeus and the first tergite of abdomen
and significant differences for queens’ and future foundresses’
mesonotum.
A change in colour variation of the population was
expressed more significantly in 2004 and had cyclic character.
The subpopulation as a whole maintained its stability in
those characteristics.
A possibility of such variability as a result of some selection
factors is discussed
Locally Perturbed Random Walks with Unbounded Jumps
In \cite{SzT}, D. Sz\'asz and A. Telcs have shown that for the diffusively
scaled, simple symmetric random walk, weak convergence to the Brownian motion
holds even in the case of local impurities if . The extension of their
result to finite range random walks is straightforward. Here, however, we are
interested in the situation when the random walk has unbounded range.
Concretely we generalize the statement of \cite{SzT} to unbounded random walks
whose jump distribution belongs to the domain of attraction of the normal law.
We do this first: for diffusively scaled random walks on having finite variance; and second: for random walks with distribution
belonging to the non-normal domain of attraction of the normal law. This result
can be applied to random walks with tail behavior analogous to that of the
infinite horizon Lorentz-process; these, in particular, have infinite variance,
and convergence to Brownian motion holds with the superdiffusive scaling.Comment: 16 page
Thermodynamic Limit for the Invariant Measures in Supercritical Zero Range Processes
We prove a strong form of the equivalence of ensembles for the invariant
measures of zero range processes conditioned to a supercritical density of
particles. It is known that in this case there is a single site that
accomodates a macroscopically large number of the particles in the system. We
show that in the thermodynamic limit the rest of the sites have joint
distribution equal to the grand canonical measure at the critical density. This
improves the result of Gro\ss kinsky, Sch\"{u}tz and Spohn, where convergence
is obtained for the finite dimensional marginals. We obtain as corollaries
limit theorems for the order statistics of the components and for the
fluctuations of the bulk
Numerical Schemes for Multivalued Backward Stochastic Differential Systems
We define some approximation schemes for different kinds of generalized
backward stochastic differential systems, considered in the Markovian
framework. We propose a mixed approximation scheme for a decoupled system of
forward reflected SDE and backward stochastic variational inequality. We use an
Euler scheme type, combined with Yosida approximation techniques.Comment: 13 page
Convergence of the all-time supremum of a L\'evy process in the heavy-traffic regime
In this paper we derive a technique of obtaining limit theorems for suprema
of L\'evy processes from their random walk counterparts. For each , let
be a sequence of independent and identically distributed
random variables and be a L\'evy processes such that
, and as . Let .
Then, under some mild assumptions, , for some random variable and some function
. We utilize this result to present a number of limit theorems
for suprema of L\'evy processes in the heavy-traffic regime
Robust pricing and hedging of double no-touch options
Double no-touch options, contracts which pay out a fixed amount provided an
underlying asset remains within a given interval, are commonly traded,
particularly in FX markets. In this work, we establish model-free bounds on the
price of these options based on the prices of more liquidly traded options
(call and digital call options). Key steps are the construction of super- and
sub-hedging strategies to establish the bounds, and the use of Skorokhod
embedding techniques to show the bounds are the best possible.
In addition to establishing rigorous bounds, we consider carefully what is
meant by arbitrage in settings where there is no {\it a priori} known
probability measure. We discuss two natural extensions of the notion of
arbitrage, weak arbitrage and weak free lunch with vanishing risk, which are
needed to establish equivalence between the lack of arbitrage and the existence
of a market model.Comment: 32 pages, 5 figure
Large closed queueing networks in semi-Markov environment and its application
The paper studies closed queueing networks containing a server station and
client stations. The server station is an infinite server queueing system,
and client stations are single-server queueing systems with autonomous service,
i.e. every client station serves customers (units) only at random instants
generated by a strictly stationary and ergodic sequence of random variables.
The total number of units in the network is . The expected times between
departures in client stations are . After a service completion
in the server station, a unit is transmitted to the th client station with
probability , and being processed in the th client
station, the unit returns to the server station. The network is assumed to be
in a semi-Markov environment. A semi-Markov environment is defined by a finite
or countable infinite Markov chain and by sequences of independent and
identically distributed random variables. Then the routing probabilities
and transmission rates (which are expressed via
parameters of the network) depend on a Markov state of the environment. The
paper studies the queue-length processes in client stations of this network and
is aimed to the analysis of performance measures associated with this network.
The questions risen in this paper have immediate relation to quality control of
complex telecommunication networks, and the obtained results are expected to
lead to the solutions to many practical problems of this area of research.Comment: 35 pages, 1 figure, 12pt, accepted: Acta Appl. Mat
Dispersion and collapse in stochastic velocity fields on a cylinder
The dynamics of fluid particles on cylindrical manifolds is investigated. The
velocity field is obtained by generalizing the isotropic Kraichnan ensemble,
and is therefore Gaussian and decorrelated in time. The degree of
compressibility is such that when the radius of the cylinder tends to infinity
the fluid particles separate in an explosive way. Nevertheless, when the radius
is finite the transition probability of the two-particle separation converges
to an invariant measure. This behavior is due to the large-scale
compressibility generated by the compactification of one dimension of the
space
- …