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Displaying 141 –
160 of
449
Space-time regularity of stochastic convolution integrals
J = 0 S(-r)Z(r)W(r)
driven by a cylindrical Wiener process in an -space on a bounded domain is investigated. The semigroup is supposed to be given by the Green function of a -th order parabolic boundary value problem, and is a multiplication operator. Under fairly general assumptions, is proved to be Holder continuous in time and space. The method yields maximal inequalities for stochastic convolutions in the space of continuous...
We prove an optimal regularity result for stochastic convolutions in certain Banach spaces. It is stated in terms of real interpolation spaces.
Assume that u, v are conjugate harmonic functions on the unit disc of ℂ, normalized so that u(0) = v(0) = 0. Let u*, |v|* stand for the one- and two-sided Brownian maxima of u and v, respectively. The paper contains the proof of the sharp weak-type estimate
ℙ(|v|* ≥ 1)≤ (1 + 1/3² + 1/5² + 1/7² + ...)/(1 - 1/3² + 1/5² - 1/7² + ...) 𝔼u*.
Actually, this estimate is shown to be true in the more general setting of differentially subordinate harmonic functions defined...
Stochastic interdependence of a probability distribution on a product space is measured by its Kullback–Leibler distance from the exponential family of product distributions (called multi-information). Here we investigate low-dimensional exponential families that contain the maximizers of stochastic interdependence in their closure. Based on a detailed description of the structure of probability distributions with globally maximal multi-information we obtain our main result: The exponential family...
The recurrence formulas for the probability distribution function of the maximum length of a series of 1's in a binary 0-1 Markovian sequence are analysed and the limiting distribution estimated. The result is used to test a semi-Markov model of basketball games.
This paper considers an M/M/R/N queue with heterogeneous servers in which customers balk (do not enter) with a constant probability . We develop the maximum likelihood estimates of the parameters for the M/M/R/N queue with balking and heterogeneous servers. This is a generalization of the M/M/2 queue with heterogeneous servers (without balking), and the M/M/2/N queue with balking and heterogeneous servers in the literature. We also develop the confidence interval formula for the parameter , the...
This paper considers an M/M/R/N queue with heterogeneous
servers in which customers balk (do not enter) with a constant
probability (1 - b). We develop the maximum likelihood
estimates of the parameters for the M/M/R/N queue with balking and
heterogeneous servers. This is a generalization of the M/M/2
queue with heterogeneous servers (without balking), and the
M/M/2/N queue with balking and heterogeneous servers in the
literature. We also develop the confidence interval formula for
the parameter...
The maximum principle for optimal control problems of fully coupled forward-backward doubly stochastic differential equations (FBDSDEs in short) in the global form is obtained, under the assumptions that the diffusion coefficients do not contain the control variable, but the control domain need not to be convex. We apply our stochastic maximum principle (SMP in short) to investigate the optimal control problems of a class of stochastic partial differential equations (SPDEs in short). And as an example...
The maximum principle for optimal control problems of fully coupled
forward-backward doubly stochastic differential equations (FBDSDEs in short)
in the global form is obtained, under the assumptions that the diffusion
coefficients do not contain the control variable, but the control domain
need not to be convex. We apply our stochastic maximum principle (SMP in
short) to investigate the optimal control problems of a class of stochastic
partial differential equations (SPDEs in short). And as an...
This paper deals with the optimal control problem in which the controlled system is described by a fully coupled anticipated forward-backward stochastic differential delayed equation. The maximum principle for this problem is obtained under the assumption that the diffusion coefficient does not contain the control variables and the control domain is not necessarily convex. Both the necessary and sufficient conditions of optimality are proved. As illustrating examples, two kinds of linear quadratic...
Currently displaying 141 –
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449