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作者：Shiraya, Kenichiro; Takahashi, Akihiko
作者单位：University of Tokyo
摘要：This paper presents a new approximation formula for pricing multidimensional discretely monitored average options in a local-stochastic volatility (LSV) model with jump by applying an asymptotic expansion technique. Moreover, it provides a justification of the approximation method with some asymptotic error estimates for general payoff functions. Particularly, our model includes local volatility functions and jump components in the underlying asset price as well as its volatility processes. To...
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作者：Kahale, Nabil
作者单位：heSam Universite; ESCP Business School
摘要：We describe a Markov chain Monte Carlo method to approximately simulate a centered d-dimensional Gaussian vector X with given covariance matrix. The standard Monte Carlo method is based on the Cholesky decomposition, which takes cubic time and has quadratic storage cost in d. By contrast, the additional storage cost of our algorithm is linear in d. We give a bound on the quadratic Wasserstein distance between the distribution of our sample and the target distribution. Our method can be used to...
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作者：Lianeas, Thanasis; Nikolova, Evdokia; Stier-Moses, Nicolas E.
作者单位：University of Texas System; University of Texas Austin; Facebook Inc
摘要：We consider a nonatomic selfish routing model with independent stochastic travel times for each edge, represented by mean and variance latency functions that depend on edge flows. This model can apply to traffic in the Internet or in a road network. Variability negatively impacts packets or drivers by introducing jitter in transmission delays, which lowers quality of streaming audio or video, or by making it more difficult to predict the arrival time at destination. At equilibrium, agents may ...
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作者：Pittel, Boris
作者单位：University System of Ohio; Ohio State University
摘要：Following up a recent work by Ashlagi, Kanoria, and Leshno, we study a stable matching problem with unequal side sizes, n men and N > n women, whose preferences for a partner are uniformly random and independent. An asymptotic formula for the expected number of stable matchings is obtained. In particular, for N = n +1 this number is close to n/(e log n), in notable contrast with (n log n)/e, the formula for the balanced case N = n that we obtained in 1988. We associate with each stable matchin...
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作者：Bubeck, Sebastien; Eldan, Ronen
作者单位：Microsoft; Weizmann Institute of Science
摘要：We prove that the Cramer transform of the uniform measure on a convex body in R-n is a (1 + o(1))n-self-concordant barrier, improving a seminal result of Nesterov and Nemirovski. This gives the first explicit construction of a universal barrier for convex bodies with optimal self-concordance parameter. The proof is based on basic geometry of log-concave distributions and elementary duality in exponential families. As a side result, our calculations also show that the universal barrier of Neste...
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作者：Gensbittel, Fabien; Grun, Christine
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
摘要：We study a model of two-player, zero-sum, stopping games with asymmetric information. We assume that the payoff depends on two independent continuous-time Markov chains, where the first Markov chain is only observed by player 1 and the second Markov chain is only observed by player 2, implying that the players have access to stopping times with respect to different filtrations. We show the existence of a value in mixed stopping times and provide a variational characterization for the value as ...
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作者：Iusem, Alfredo N.; Jofre, Alejandro; Thompson, Philip
作者单位：Instituto Nacional de Matematica Pura e Aplicada (IMPA); Universidad de Chile; Universidad de Chile
摘要：We consider stochastic variational inequalities (VIs) with monotone operators where the feasible set is an intersection of a large number of convex sets. We propose a stochastic approximation method with incremental constraint projections, meaning that a projection method is taken after the random operator is sampled and a component of the feasible set is randomly chosen. Such a sequential scheme is well suited for large-scale online and distributed learning. First, we assume that the VI is we...
