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作者：Xu, Zhen; Zhang, Jiheng; Zhang, Rachel Q.
作者单位：Hong Kong University of Science & Technology
摘要：Consider a storage system where the content is driven by a Brownian motion in the absence of control. At any time, one may increase or decrease the content at a cost proportional to the amount of adjustment. A decrease of the content takes effect immediately, while an increase is realized after a fixed lead time l. Holding costs are incurred continuously over time and are a convex function of the content. The objective is to find a control policy that minimizes the expected present value of th...
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作者：Gairing, Martin; Savani, Rahul
作者单位：University of Liverpool
摘要：We study the computational complexity of finding stable outcomes in hedonic games, which are a class of coalition formation games. We restrict our attention to symmetric additively separable hedonic games, which are a nontrivial subclass of such games that are guaranteed to possess stable outcomes. These games are specified by undirected edge-weighted graphs: nodes are players, an outcome of the game is a partition of the nodes into coalitions, and the utility of a node is the sum of incident ...
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作者：Bet, Gianmarco; van der Hofstad, Remco; van Leeuwaarden, Johan S. H.
作者单位：Eindhoven University of Technology
摘要：We consider a single-server queue that serves a finite population of n customers that will enter the queue (require service) only once, also known as the Delta((i))/G/1 queue. This paper presents a method for analyzing heavy-traffic behavior by using uniform acceleration, which simultaneously lets n and the service rate grow large, while the initial resource utilization approaches one. A key feature of the model is that, as time progresses, more customers have joined the queue, and fewer custo...
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作者：Haimanko, Ori
作者单位：Ben-Gurion University of the Negev
摘要：We consider semivalues on pM(infinity)-a vector space of games with a continuum of players (among which there may be atoms) that possess a robust differentiability feature. We introduce the notion of a derivative semivalue on pM(infinity) and extend the standard Banzhaf value from the domain of finite games onto pM(infinity) as a certain particularly simple derivative semivalue. Our main result shows that any semivalue on pM(infinity) is a derivative semivalue. It is also shown that the Banzha...
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作者：Chen, Bohan; Blanchet, Jose; Rhee, Chang-Han; Zwart, Bert
作者单位：Stanford University; Northwestern University
摘要：We propose a class of strongly efficient ram-event simulation estimators for random walks and compound Poisson processes with a regularly varying increment/jump-size distribution in a general large deviations regime. Our estimator is based on an importance sampling strategy that hinges on a recently established heavy-tailed sample-path large deviations result. The new estimators are straightforward to implement and can be used to systematically evaluate the probability of a wide range of rare ...
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作者：Burzoni, Matteo; Frittelii, Marco; Hou, Zhaoxu; Maggis, Marco; Obloj, Jan
作者单位：Swiss Federal Institutes of Technology Domain; ETH Zurich; University of Milan; University of Oxford
摘要：We develop a robust framework for pricing and hedging of derivative securities in discrete-time financial markets. We consider markets with both dynamically and statically traded assets and make minimal measurability assumptions. We obtain abstract (pointwise) fundamental theorem of asset pricing and pricing-hedging duality. Our results are general and, in particular, cover both the so-called model independent case as well as the classical probabilistic case of Dalang-Morton-Willinger. Our ana...
