Controlled Markov processes on the infinite planning horizon: Weighted and overtaking cost criteria

Stochastic control problems for controlled Markov processes models with an infinite planning horizon are considered, under some non-standard cost criteria. The classical discounted and average cost criteria can be viewed as complementary, in the sense that the former captures the short-time and the latter the long-time performance of the system. Thus, we study a cost criterion obtained as weighted combinations of these criteria, extending to a general state and control space framework several recent results by Feinberg and Shwartz, and by Krass et al. In addition, a functional characterization is given for overtaking optimal policies, for problems with countable state spaces and compact control spaces; our approach is based on qualitative properties of the optimality equation for problems with an average cost criterion.Research partially supported by the Engineering Foundation under grant RI-A-93-10, in part by the National Science Foundation under grant NSF-INT 9201430, and in part by a grant from the AT&T Foundation.Research partially supported by the Air Force Office of Scientific Research under Grant F49620-92-J-0045, and in part by the National Science Foundation under Grant CDR-8803012.     

Relaxation in ferromagnetism: The rigid case

Summary We undertake the analysis of measure-valued magnetizations in the context of micromagnetics, i.e., parametrized measures coming from sequences of magnetizations, and show that there are no constraints, other than the natural restriction on the support, for this family of probability measures. As a consequence, we prove a general existence theorem for this relaxed formulation and explore relaxation in terms of the first moment of these generalized magnetizations.     

带交互作用测度值分枝过程的绝对连续性

本文研究Meleard-Roelly（1992，1993）和Metivier（1987）构造的带交互作用的测度值分枝过程的状态性质．我们证明在自然假设下该过程关于Lebesgue测度是绝对连续的，其密度有连续修正且满足一个随机偏微分方程．     

Super-Tree Random Measures

We use supercritical branching processes with random walk steps of geometrically decreasing size to construct random measures. Special cases of our construction give close relatives of the super-(spherically symmetric stable) processes. However, other cases can produce measures with very smooth densities in any dimension.     

Efficient algorithms for solving certain nonconvex programs dealing with the product of two affine fractional functions

Two algorithms for finding a global minimum of the product of two affine fractional functions over a compact convex set and solving linear fractional programs with an additional constraint defined by the product of two affine fractional functions are proposed. The algorithms are based on branch and bound techniques using an adaptive branching operation which takes place in one-dimensional intervals. Results from numerical experiments show that large scale problems can be efficiently solved by the proposed methods.     

Discrete and Continuous Time Modulated Random Walks with Heavy-Tailed Increments

We consider a modulated process S which, conditional on a background process X, has independent increments. Assuming that S drifts to −∞ and that its increments (jumps) are heavy-tailed (in a sense made precise in the paper), we exhibit natural conditions under which the asymptotics of the tail distribution of the overall maximum of S can be computed. We present results in discrete and in continuous time. In particular, in the absence of modulation, the process S in continuous time reduces to a Lévy process with heavy-tailed Lévy measure. A central point of the paper is that we make full use of the so-called “principle of a single big jump” in order to obtain both upper and lower bounds. Thus, the proofs are entirely probabilistic. The paper is motivated by queueing and Lévy stochastic networks.     

双光子J-C模型场熵的压缩特性

研究了双光子过程J—C模型场熵的压缩特性，讨论了原子初态和失谐量对场熵压缩特性的影响。     

GIRSANOV'S THEOREM ON ABSTRACT WIENER SPACES

ＧＩＲＳＡＮＯＶ’ＳＴＨＥＯＲＥＭＯＮＡＢＳＴＲＡＣＴＷＩＥＮＥＲＳＰＡＣＥＳＺＨＡＮＧＹＩＮＮＡＮＡｂｓｔｒａｃｔＬｅｔ（Ｅ，Ｈ，μ）ｂｅａｎａｂｓｔｒａｃｔＷｉｅｎｅｒｓｐａｃｅｉｎｔｈｅｓｅｎｓｅｏｆＬ．Ｇｒｏｓ．Ｉｔｉｓｐｒｏｖｅｄｔｈ...     

Range reliability in random walks

This paper introduces a definition of reliability based on a process range. Thus, process failure is defined when the range of a process first reaches a given and unacceptable level. The Mean Time To Failure (MTTF) which is denned as the mean of the first time for a range to attain a given amplitude is then calculated for an asymmetric random walk process. The probability distribution of the range is then given and the process reliability over long periods of system operations are then calculated. Applications such as the control of wings movements, stock price and exchange rates volatility (defined in terms of reliability) are also used to motivate the usefulness of range processes in reliability studies. Finally, we point out that there is necessarily a relationship between the range reliability and the propensity of a series to become chaotic.     

A branching process model for sand avalanches

An analytically solvable model for sand avalanches of noninteracting grains of sand, based on the Chapman-Kolmogorov equations, is presented. For a single avalanche, distributions of lifetimes, sizes of overflows and avalanches, and correlation functions are calculated. Some of these are exponentials, some are power laws. Spatially homogeneous distributions of avalanches are also studied. Computer simulations of avalanches of interacting grains of sand are compared to the solutions to the Chapman-Kolmogorov equations. We find that within the range of parameters explored in the simulation, the approximation of noninteracting grains of sand is a good one.