Littérature scientifique sur le sujet « Markov Theorem »

<p> A theorem by Kurtz on convergence of Markov jump processes is presented as it relates to the use of the chemical master equation. Necessary mathematical background in the theory of stochastic processes is developed, as well as requirements of the mathematical model necessitated by results in the physical sciences. Applicability and usefulness of the master equation for this type of combinatorial model in chemistry is discussed, as well as analytical connections and modern applications in multiple research fields.</p>

Nesta dissertação de mestrado, vamos apresentar uma prova para os grandes desvios para variáveis aleatórias independentes e identicamente distribuídas com todos os momentos finitos e para a medida empírica de cadeias de Markov com espaço de estados finito e tempo discreto. Além disso, abordaremos os teoremas de Sanov e Gärtner-Ellis.<br>In this master thesis it is presented a proof of the large deviations for independent and identically distributed random variables with all finite moments and for the empirical measure of Markov chains with finite state space and with discrete time. Moreover, we address the theorems of Sanov and of Gartner-Ellis.

This thesis focuses on algorithms solving the on-line Bin-Covering problem, when the items are generated from a known, stationary distribution. We introduce the Prospect Algorithm. The main idea behind the Prospect Algorithm is to use information on the item distribution to estimate how easy it will be to fill a bin with small overfill as a function of the empty space left in it. This estimate is then used to determine where to place the items, so that all active bins either stay easily fillable, or are finished with small overfill. We test the performance of the algorithm by simulation, and discuss how it can be modified to cope with additional constraints and extended to solve the Bin-Packing problem as well. The Prospect Algorithm is then adapted to achieve perfect packing, yielding a new version, the Prospect+ Algorithm, that is a slight but consistent improvement. Next, a Markov Decision Process formulation is used to obtain an optimal Bin-Covering algorithm to compare with the Prospect Algorithm. Even though the optimal algorithm can only be applied to limited (small) cases, it gives useful insights that lead to another modification of the Prospect Algorithm. We also discuss two relaxations of the on-line constraint, and describe how algorithms that are based on solving the Subset-Sum problem are used to tackle these relaxed problems. Finally, several practical issues encountered when using the Prospect Algorithm in the real-world are analyzed, a computationally efficient way of doing the background calculations needed for the Prospect Algorithm is described, and the three versions of the Prospect Algorithm developed in this thesis are compared.

Two optimisation problems were considered, in which market exposure is indirectly controlled. The first one models the capital of a company and an independent portfolio of new businesses, each one represented by a Cram\'r-Lundberg process. The company can choose the proportion of new business it wants to take on and can alter this proportion over time. Here the objective is to find a strategy that maximises the survival probability. We use a point processes framework to deal with the impact of an adapted strategy in the intensity of the new business. We prove that when Cram\'{e}r-Lundberg processes with exponentially distributed claims, it is optimal to choose a threshold type strategy, where the company switches between owning all new businesses or none depending on the capital level. For this type of processes that change both drift and jump measure when crossing the constant threshold, we solve the one and two-sided exit problems. This optimisation problem is also solved when the capital of the company and the new business are modelled by spectrally positive L\'vy processes of bounded variation. Here the one-sided exit problem is solved and we prove optimality of the same type of threshold strategy for any jump distribution. The second problem is a stochastic variation of the work done by Taylor about underwriting in a competitive market. Taylor maximised discounted future cash flows over a finite time horizon in a discrete time setting when the change of exposure from one period to the next has a multiplicative form involving the company's premium and the market average premium. The control is the company's premium strategy over a the mentioned finite time horizon. Taylor's work opened a rich line of research, and we discuss some of it. In contrast with Taylor's model, we consider the market average premium to be a Markov chain instead of a deterministic vector. This allows to model uncertainty in future conditions of the market. We also consider an infinite time horizon instead of finite. This solves the time dependency in Taylor's optimal strategies that were giving unrealistic results. Our main result is a formula to calculate explicitly the value function of a specific class of pricing strategies. Further we explore concrete examples numerically. We find a mix of optimal strategies where in some examples the company should follow the market while in other cases should go against it.