All a b c d e f g h i j k l m n o p q r s t u v w x y z Other

Page 1 Next

Displaying 1 – 20 of 34

Showing per page

Tail probability and singularity of Laplace-Stieltjes transform of a Pareto type random variable

Kenji Nakagawa (2015)

Applications of Mathematics

We give a sufficient condition for a non-negative random variable X to be of Pareto type by investigating the Laplace-Stieltjes transform of the cumulative distribution function. We focus on the relation between the singularity at the real point of the axis of convergence and the asymptotic decay of the tail probability. For the proof of our theorems, we apply Graham-Vaaler’s complex Tauberian theorem. As an application of our theorems, we consider the asymptotic decay of the stationary distribution...

The behavior of a Markov network with respect to an absorbing class: the target algorithm

Giacomo Aletti (2009)

RAIRO - Operations Research

In this paper, we face a generalization of the problem of finding the distribution of how long it takes to reach a “target” set T of states in Markov chain. The graph problems of finding the number of paths that go from a state to a target set and of finding the n-length path connections are shown to belong to this generalization. This paper explores how the state space of the Markov chain can be reduced by collapsing together those states that behave in the same way for the purposes of calculating...

The compositional construction of Markov processes II

L. de Francesco Albasini, N. Sabadini, R. F. C. Walters (2011)

RAIRO - Theoretical Informatics and Applications - Informatique Théorique et Applications

We add sequential operations to the categorical algebra of weighted and Markov automata introduced in [L. de Francesco Albasini, N. Sabadini and R.F.C. Walters, 
arXiv:0909.4136]. The extra expressiveness of the algebra permits the description of hierarchical systems, and ones with evolving geometry. We make a comparison with the probabilistic automata of Lynch et al. [SIAM J. Comput. 37 (2007) 977–1013].

The compositional construction of Markov processes II

L. de Francesco Albasini, N. Sabadini, R. F.C. Walters (2011)

RAIRO - Theoretical Informatics and Applications

We add sequential operations to the categorical algebra of weighted and Markov automata introduced in [L. de Francesco Albasini, N. Sabadini and R.F.C. Walters, 
arXiv:0909.4136]. The extra expressiveness of the algebra permits the description of hierarchical systems, and ones with evolving geometry. We make a comparison with the probabilistic automata of Lynch et al. [SIAM J. Comput.37 (2007) 977–1013].

The Dyson Brownian Minor Process

Mark Adler, Eric Nordenstam, Pierre Van Moerbeke (2014)

Annales de l’institut Fourier

Consider an n × n Hermitean matrix valued stochastic process { H t } t ≥ 0 where the elements evolve according to Ornstein-Uhlenbeck processes. It is well known that the eigenvalues perform a so called Dyson Brownian motion, that is they behave as Ornstein-Uhlenbeck processes conditioned never to intersect.In this paper we study not only the eigenvalues of the full matrix, but also the eigenvalues of all the principal minors. That is, the eigenvalues of the k × k minors in the upper left corner of H t . Projecting this...

The exit path of a Markov chain with rare transitions

Olivier Catoni, Raphaël Cerf (2010)

ESAIM: Probability and Statistics

We study the exit path from a general domain after the last visit to a set of a Markov chain with rare transitions. We prove several large deviation principles for the law of the succession of the cycles visited by the process (the cycle path), the succession of the saddle points gone through to jump from cycle to cycle on the cycle path (the saddle path) and the succession of all the points gone through (the exit path). We estimate the time the process spends in each cycle of the cycle path...

The island model as a Markov dynamic system

Robert Schaefer, Aleksander Byrski, Maciej Smołka (2012)

International Journal of Applied Mathematics and Computer Science

Parallel multi-deme genetic algorithms are especially advantageous because they allow reducing the time of computations and can perform a much broader search than single-population ones. However, their formal analysis does not seem to have been studied exhaustively enough. In this paper we propose a mathematical framework describing a wide class of island-like strategies as a stationary Markov chain. Our approach uses extensively the modeling principles introduced by Vose, Rudolph and their collaborators....

The logarithmic Sobolev constant of some finite Markov chains

Guan-Yu Chen, Wai-Wai Liu, Laurent Saloff-Coste (2008)

Annales de la faculté des sciences de Toulouse Mathématiques

The logarithmic Sobolev constant is always bounded above by half the spectral gap. It is natural to ask when this inequality is an equality. We consider this question in the context of reversible Markov chains on small finite state spaces. In particular, we prove that equality holds for simple random walk on the five cycle and we discuss assorted families of chains on three and four points.

Currently displaying 1 – 20 of 34

Page 1 Next