Displaying similar documents to “Cube root fluctuations for the corner growth model associated to the exclusion process.”

On the extremal behavior of a Pareto process: an alternative for ARMAX modeling

Marta Ferreira (2012)

Kybernetika

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In what concerns extreme values modeling, heavy tailed autoregressive processes defined with the minimum or maximum operator have proved to be good alternatives to classical linear ARMA with heavy tailed marginals (Davis and Resnick [8], Ferreira and Canto e Castro [13]). In this paper we present a complete characterization of the tail behavior of the autoregressive Pareto process known as Yeh-Arnold-Robertson Pareto(III) (Yeh et al. [32]). We shall see that it is quite similar to the...

Chance constrained problems: penalty reformulation and performance of sample approximation technique

Martin Branda (2012)

Kybernetika

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We explore reformulation of nonlinear stochastic programs with several joint chance constraints by stochastic programs with suitably chosen penalty-type objectives. We show that the two problems are asymptotically equivalent. Simpler cases with one chance constraint and particular penalty functions were studied in [6,11]. The obtained problems with penalties and with a fixed set of feasible solutions are simpler to solve and analyze then the chance constrained programs. We discuss solving...

Optimal stationary policies inrisk-sensitive dynamic programs with finite state spaceand nonnegative rewards

Rolando Cavazos-Cadena, Raúl Montes-de-Oca (2000)

Applicationes Mathematicae

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This work concerns controlled Markov chains with finite state space and nonnegative rewards; it is assumed that the controller has a constant risk-sensitivity, and that the performance ofa control policy is measured by a risk-sensitive expected total-reward criterion. The existence of optimal stationary policies isstudied within this context, and the main resultestablishes the optimalityof a stationary policy achieving the supremum in the correspondingoptimality equation, whenever the...