An operator-valued stochastic integral, II
An operator-valued stochastic integral, III
An optimal Itô formula for Lévy processes.
An optimal property of the best linear unbiased interpolation filter
An optimal quantitative two-scale expansion in stochastic homogenization of discrete elliptic equations
We establish an optimal, linear rate of convergence for the stochastic homogenization of discrete linear elliptic equations. We consider the model problem of independent and identically distributed coefficients on a discretized unit torus. We show that the difference between the solution to the random problem on the discretized torus and the first two terms of the two-scale asymptotic expansion has the same scaling as in the periodic case. In particular the L2-norm in probability of the H1-norm...
An optimality system for finite average Markov decision chains under risk-aversion
This work concerns controlled Markov chains with finite state space and compact action sets. The decision maker is risk-averse with constant risk-sensitivity, and the performance of a control policy is measured by the long-run average cost criterion. Under standard continuity-compactness conditions, it is shown that the (possibly non-constant) optimal value function is characterized by a system of optimality equations which allows to obtain an optimal stationary policy. Also, it is shown that the...
An optimality-equation for discrete stochastic decision problems with general sets of admissible strategies
An oriented competition model on .
An overlapping theorem with applications.
We establish a general and optimal lower bound for the complete sum of the probabilities of k-intersections of n events. We then describe various applications to additive and multiplicative number theory, graph theory, coding theory, study of lattice points on circles, and divisors of polynomials.[Proceedings of the Primeras Jornadas de Teoría de Números (Vilanova i la Geltrú (Barcelona), 30 June - 2 July 2005)].
An overview on large deviations of the empirical measure of interacting particle systems
An SMDP model for a multiclass multi-server queueing control problem considering conversion times
We address a queueing control problem considering service times and conversion times following normal distributions. We formulate the multi-server queueing control problem by constructing a semi-Markov decision process (SMDP) model. The mechanism of state transitions is developed through mathematical derivation of the transition probabilities and transition times. We also study the property of the queueing control system and show that optimizing the objective function of the addressed queueing control...
An SVD approach to identifying metastable states of Markov chains.
Análisis en componentes principales de un proceso estocástico con funciones muestrales escalonadas.
El ACP de un número finito de variables puede ser generalizado para manejar datos que evolucionan en el tiempo. El objetivo de este trabajo es la estimación de los factores principales de procesos aleatorios con funciones muestrales escalonadas. Ante la imposibilidad de obtener una solución exacta a este problema, proponemos estimar el ACP de un proceso de este tipo a partir del ACP del proceso cuyas trayectorias se obtienen como proyección de las originales en el subespacio de las funciones constantes...
Analyse asymptotique des processus gaussiens stationnaires
Analyse harmonique des groupes d'automorphismes d'arbres de Bruhat-Tits
Analyse multi-échelle d'un processus gaussien markovien au voisinage d'une singularité
Analyse spectrale et théorème de prédiction statistique de Wiener
Analysis of a Bose–Einstein Markov chain
Analysis of a bulk queue with unreliable server and single vacation.
Analysis of a MX/G(a,b)/1 queueing system with vacation interruption
In this paper, a batch arrival general bulk service queueing system with interrupted vacation (secondary job) is considered. At a service completion epoch, if the server finds at least ‘a’ customers waiting for service say ξ, he serves a batch of min (ξ, b) customers, where b ≥ a. On the other hand, if the queue length is at the most ‘a-1’, the server leaves for a secondary job (vacation) of random length. It is assumed that the secondary job is interrupted abruptly and the server resumes for primary...