In a Markovian model for a financial market, we characterize the best arbitrage with respect to the market portfolio that can be achieved using non-anticipative investment strategies, in terms of the smallest positive solution to a parabolic partial differential inequality; this is determined entirely on the basis of the covariance structure of the model. The solution is also used to generate t...

In this paper we examine an existing model of composable internet switches from which statistical guarantees of service can be obtained. We then present some small analysis to show how the model can be implemented so that its assumptions, in this case about Markovian traffic streams, are in fact properties of the implementation. In order to achieve this we need to construct a box which makes th...

In this paper a bond market model and the related term structure of interest rates are studied where prices of zero coupon bonds are driven by a jump-diffusion process. A criterion is derived on the deterministic forward rate volatilities under which the short rate process is Markovian. In the case that the volatilities depend on the short rate sufficient conditions are presented for the existe...

We investigate 738 complete genomes of viruses to detect the presence of short inverted repeats. The number of inverted repeats found is compared with the prediction obtained for a Bernoullian and for a Markovian control model. We find as a statistical regularity that the number of observed inverted repeats is often greater than the one expected in terms of a Bernoullian or Markovian model in s...

This paper deals with the tactical planning of the search efforts for a moving target. I t refers deeply to the work of BrownWashburn, related to the multi-step search of a Markovian target. However, this meaningful work is not optimally applicable to tactical situations, where the target may move accordingly to the observations of the possible searcher indiscretions (eg. active modes). On the ...

Motivated by large-scale service systems with network structure and non-exponential customer abandonment, in a previous paper we introduced a non-Markovian time-varying open network of many-server fluid queues with customer abandonment from each queue and timevarying proportional routing among the queues, and showed how performance functions can be determined. The deterministic fluid model serv...

Guided policy search [1] is a method for reinforcement learning that trains a general policy for accomplishing a given task by guiding the learning of the policy with multiple guiding distributions. Guided policy search relies on learning an underlying dynamical model of the environment and then, at each iteration of the algorithm, using that model to gradually improve the policy. This model, t...

This paper examines the problem of designing a robust H∞ state-feedback controller for a class of uncertain nonlinear descriptor Markovian jump systems described by a TakagiSugeno (TS) fuzzy model with Markovian jumps. Based on a linear matrix inequality (LMI) approach, LMI-based sufficient conditions for the uncertain nonlinear descriptor Markovian jump systems to have an H∞ performance are de...

This paper examines the problem of designing a robust H∞ state-feedback controller for a class of uncertain Markovian jump nonlinear singularly perturbed systems described by a Takagi-Sugeno (TS) fuzzy model with Markovian jumps. Based on a linear matrix inequality (LMI) approach, LMI-based sufficient conditions for the uncertain Markovian jump nonlinear singularly perturbed systems to have an ...

We study a suffix tree built from a sequence generated by a Markovian source. Such sources are more realistic probabilistic models for text generation, data compression, molecular applications, and so forth. We prove that the average size of such a suffix tree is asymptotically equivalent to the average size of a trie built over n independent sequences from the same Markovian source. This equiv...