A theoretical argument why the -copula explains credit risk contagion better than the Gaussian copula.
A time-dependent best choice problem with costs and random lifetime in organ transplants
This paper develops and analyzes a time-dependent optimal stopping problem and its application to the decision making process concerning organ transplants. Offers (organs for transplant) appear at jump times of a Poisson process. The values of the offers are i.i.d. random variables with a known distribution function. These values express the degree of histocompatibility between the donor and the recipient. The sequence of offers is independent of the jump times of the Poisson process. The decision...
A topological version of some ergodic theorems
A transformation from prediction to past of an -stochastic process
A transportation system viewed as a queueing system
A trivariate law for certain processes related to perturbed brownian motions
A two armed bandit type problem revisited
In Benaïm and Ben Arous (2003) is solved a multi-armed bandit problem arising in the theory of learning in games. We propose a short and elementary proof of this result based on a variant of the Kronecker lemma.
A two armed bandit type problem revisited
In Benaïm and Ben Arous (2003) is solved a multi-armed bandit problem arising in the theory of learning in games. We propose a short and elementary proof of this result based on a variant of the Kronecker lemma.
A two-disorder detection problem
Suppose that the process is observed sequentially. There are two random moments of time and , independent of X, and X is a Markov process given and . The transition probabilities of X change for the first time at time and for the second time at time . Our objective is to find a strategy which immediately detects the distribution changes with maximal probability based on observation of X. The corresponding problem of double optimal stopping is constructed. The optimal strategy is found...
A two-level open queue network with blocking and feedback
A two-scale approach to logarithmic Sobolev inequalities and the hydrodynamic limit
We consider the coarse-graining of a lattice system with continuous spin variable. In the first part, two abstract results are established: sufficient conditions for a logarithmic Sobolev inequality with constants independent of the dimension (Theorem 3) and sufficient conditions for convergence to the hydrodynamic limit (Theorem 8). In the second part, we use the abstract results to treat a specific example, namely the Kawasaki dynamics with Ginzburg–Landau-type potential.
A type of Gauss' divergence formula on Wiener spaces.
A unified approach to several inequalities for gaussian and diffusion measures
A unified characterization of -optimal and minimal entropy martingale measures by semimartingale backward equations.
A unified cost function for M/G/1 queueing systems with removable server.
This article deals with the three classic policies for an M/G/1 queueing system (N, T, and D-policy). The optimum policies were compared in several precedent studies, but the comparison was performed employing different cost functions, so that the D-policy is superior to the N-policy when the cost function is based on the mean work-load, whilst the average queue length is used to show the superiority of the N-policy over the T-policy. In order to achieve a comparison of the three policies under...
A uniform central limit theorem for dependent variables
Niemiro and Zieliński (2007) have recently obtained uniform asymptotic normality for the Bernoulli scheme. This paper concerns a similar problem. We show the uniform central limit theorem for a sequence of stationary random variables.
A uniform dimension result for two-dimensional fractional multiplicative processes
Given a two-dimensional fractional multiplicative process determined by two Hurst exponents and , we show that there is an associated uniform Hausdorff dimension result for the images of subsets of by if and only if .
A uniform estimate for the rate of convergence in the multidimensional central limit theorem for homogeneous Markov chains.
A Uniform Law of the Iterated Logarithm for Brownian Motion on Compact Riemannian Manifolds.
A universality property for last-passage percolation paths close to the axis.